Effect of Foreign Equity Gross Purchases on Stock Market Volatility in Kenya : Empirical Evidence from Nairobi Securities Exchange

Isaac Linus Ochieng, Tobias O. Olweny, Oluoch J. Oluoch, Gordon O. Ochere
2019 European Scientific Journal  
The main objective of the study was to determine the effect of foreign equity purchases turn-over on the level of volatility at the Nairobi Securities Exchange. The study was twofold as it focused on the effect of foreign equity gross purchases on stock market volatility before and after introducing foreign exchange rate as a moderating variable. . Time series secondary data was used in the study. The data was subjected to diagnostic tests such as linearity test, multicollinearity test,
more » ... y test, test for homoscedasticity and test for autocorrelation with E-views being the main statistical tool of analysis. The main model used in the study was the vector error correction model subsequent to undertaking stationarity test, lag selection test and cointegration tests. Study results reveal a positive but in-significant effect of foreign equity purchases turn-over on stock market volatility and a negative but in-significant effect after introducing foreign exchange rate as a moderating variable. The study recommends adoption of efficacious cross-border listing rules to spur stock
doi:10.19044/esj.2019.v15n7p1 fatcat:zjayzkgohnf3pbt4wl4kdvcuxi