Macroeconomic Variables and the Kenyan Equity Market: A Time Series Analysis

dc.contributor.advisor	Mutuku, Cyrus & Kirwa, Lelei Ngény
dc.date.accessioned	2020-12-10T08:04:01Z
dc.date.available	2020-12-10T08:04:01Z
dc.date.issued	2014
dc.identifier.uri	http://repository.kippra.or.ke/handle/123456789/2367
dc.description.abstract	The study investigates the dynamic relationship between stock prices and four macroeconomic variables in Kenya using co-integration and vector auto regressive framework. The VAR and VECM analysis reveal that macroeconomic variables drive equity market in the long run. The variables in the VAR model are co-integrated with 3.8% disequilibrium being corrected quarterly. Notably, inflation has a negative effect on equity market suggesting that policy authorities in Kenya should design polices that mitigate inflation for stock market to develop. The results confirm that stock market is not an avenue for perfect hedge against inflation.	en
dc.language.iso	en	en
dc.publisher	Kenya Institute for Public Policy Research and Analysis (KIPPRA)	en
dc.relation.ispartofseries	Business and Economic Research;
dc.subject	Stock market,	en
dc.subject	VAR,	en
dc.subject	VECM,	en
dc.subject	Macroeconomic variables.	en
dc.subject	Time series analysis
dc.title	Macroeconomic Variables and the Kenyan Equity Market: A Time Series Analysis	en
dc.type	Book chapter	en
ppr.contributor.author	Mutuku, Cyrus & Kirwa, Lelei Ngény