Relationship Between Macro-economic Variable, Investor Herding Behavior and Stock Market Volatility in Kenya

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dc.contributor.authorAmata, Evans Ombima
dc.contributor.authorMuturi, Willy
dc.contributor.authorMbewa, Martin
dc.date.accessioned2024-11-20T10:44:32Z
dc.date.available2024-11-20T10:44:32Z
dc.date.issued2016
dc.description.abstractThis study sought to examine the relationship between interest rate, inflation, gross domestic product (GDP), foreign exchange, investor herding behaviour and stock market volatility. Published time series data from January 2001 to December 2014 was obtained from the Central Bank of Kenya, Kenya National Bureau of Statistics, Capital Market Authority and the Nairobi Securities Exchange. Granger causality test was used to determine the short run causality while the Vector Error Correction Model (VECM) was used to test the long run causality between predictor variables and stock market volatility. Result from the regression model show a positive and significant relationship between inflation and stock market volatility both in the short run and long run. The study finds that an increase in inflation by 1% leads to an increase in stock market volatility by approximately 24%. Results also revealed that there is a negative and significant relationship between interest rate and stock market volatility both in the short run and long run. GDP, Foreign exchange and herding behaviour had no significant relationship with stock market volatility in Kenya
dc.identifier.citationAmata, E.O., Muturi, W. & Mbewa, M. (2016). Relationship between Macro-economic Variables, Investor Herding and Stock Market Volatility in Kenya. International Journal of Economics, Commerce and Management. 4(8), 36-54
dc.identifier.urihttps://repository.ru.ac.ke/handle/123456789/1470
dc.language.isoen
dc.publisherInternational Journal of Economics, Commerce and Management
dc.subjectStock Market Volatility
dc.subjectInvestor Herding
dc.subjectMacro-Economic Variables
dc.subjectHerding Index
dc.titleRelationship Between Macro-economic Variable, Investor Herding Behavior and Stock Market Volatility in Kenya
dc.typeArticle

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