EFFECT OF INFORMATION ADJUSTMENT TIME ON SHARE PRICES FOR FIRM'S LISTED ON THE NAIROBI SECURITY EXCHANGE
DOI:
https://doi.org/10.47672/ajf.158Keywords:
information adjustment time, share prices, Nairobi security exchangeAbstract
Purpose: The purpose of this study was to establish the effect of information adjustment time on share prices for firm's listed on the Nairobi Security Exchange.
Methodology: The study was carried out using descriptive research design. The target population consisted all companies listed on the NSE, and had previously done a rights issue. Convenient sampling technique was used to identify firms that had rights issue in the period under study. Secondary data was collected using a schedule developed by the researcher. Data analysis was done using events study methodology and regression modelling.
Results: Based on the findings the study indicated that there was slow information adjustment as established by the lagged residuals of the residuals. Specifically, the effects of rights issue announcement persisted for 2 days and thus indicating a slow information adjustment.
Unique contribution to theory, practice and policy: Based on the findings the study recommends that further studies to be done on the impact of bonus issues, IPOs, and the global economic crisis (2008-2009) on stock returns of companies listed at the NSE.
Downloads
References
A. N. (1999). Aston University. Retrieved May 8, 2014, from Aston University Web Site:
Brealey, R. A., & Myers, S. C. (1988). Principles of Cooperate Finance (Third Edition ed.). NewYork: McGraw-Hill, Inc.
Cooper, D. R., & Schindler, P. S. (2006). Business research methods: Empirical investigation. Journal of Service Research, 1(2), 108-28.
Ederington, L. H., & Lee, J. H. (1995).The short-run dynamics of the price adjustment to new information.Journal of Financial and Quantitative Analysis, 30(01), 117-134.
Elton, E. J., Gruber, M. J., Brown, S. J., & Goetzmann, W. N. (2011). Morden Portfolio Theory (8th Edition ed.). Hoboken: John Wiley & Sons, Inc.
Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969).The adjustment of stock prices to new information.International economic review, 10(1), 1-21.
Jones, C.P (1998). Investments: Analysis and Management. New York: John Wiley and sons.
Kendall, M. G., & Hill, A. B. (1953). The analysis of economic time-series-part i: Prices. Journal of the Royal Statistical Society. Series A (General), 116(1), 11-34.
Khushbu, A. (2012, July 9). Social Science Research Network. Retrieved May 6, 2014, from
MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of economic literature, 13-39.
McWilliams, A., & Siegel, D. (1997). Event studies in management research: Theoretical and empirical issues. Academy of management journal, 40(3), 626-657.
Menge, R. N. (2013). Effect of elections on stock market returns at the Nairobi Securities Exchange Unpublished MBA dissertation, University of Nairobi.
Mishra, A. (2005). An empirical analysis of market reaction around the bonus issues in India. Indian Institute of management working paper, (2005-10).
Mitchell, M. L., & Netter, J. M. (1994). The Role of financial economics in securities fraud cases: applications at the Securities and Exchange Commission. The Business Lawyer, 545-590.
Miya, G. H. (2007). Stock market behaviour around national elections in Kenya.Unpublished MBA dissertation, University Of Nairobi.
NSE. (2014, January 1). About NSE. Retrieved February 1, 2014, from Nairobi Securities
Patell, M. J., & Wolfson, M. A. (1984). The intraday speed of stock price adjustment to earnings and dividends announcement. Financial Economics , 223-252.
Robert, N. M., Mirie, M., & John G. K., (2014) Effect of elections on stock market returns at the Nairobi securities exchange, Prime Journal of Social Science, Vol. 3(6), pp. 763-768
Seiler, M. J. (2004). Performing financial studies: a methodological cookbook. Upper Saddle River, NJ: Prentice Hall.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2017 Batista J. Mariko, Theuri J. M
This work is licensed under a Creative Commons Attribution 4.0 International License.
Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution (CC-BY) 4.0 License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
