1887

n AfricaGrowth Agenda - Is market automation associated with improved informational efficiency? Case study of the Nairobi Stock Exchange

Volume 2016, Issue 07
  • ISSN : 1811-5187

Abstract

The 2006 automation of the Nairobi Stock Exchange (NSE) was expected to improve the informational efficiency of the market. This paper seeks to empirically establish if the previous assertion was achieved using daily NSE 20-share index data from January 2001 to December 2011. Results of the autocorrelation, variance ratio and BDS tests suggest that the market is inefficient. However, the results of the Hurst ratio indicate an improvement in efficiency with the ratio close to 0.5. The results are mixed but, in general they indicate that automation has not improved the efficiency of the market.

Loading full text...

Full text loading...

Loading

Article metrics loading...

/content/afgrow/2016/07/EJC194233
2016-07-01
2019-11-13

This is a required field
Please enter a valid email address
Approval was a Success
Invalid data
An Error Occurred
Approval was partially successful, following selected items could not be processed due to error