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

Mutuku, Cyrus; Ng’eny, Kirwa Lelei

doi:10.5296/ber.v5i1.6733

Cited by 30 publications

(15 citation statements)

References 20 publications

(11 reference statements)

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“…Contrary to Fisher's hypothesis, the study's findings also agreed with those of [19] - [25] outside Kenya and [32] - [34], [36] and [38] in Kenya.…”

Section: Effect Of Inflation Rate On Securities Market Returnssupporting

confidence: 55%

“…In Kenya, some studies found that inflation rate had a positive and significant bearing on securities returns [29] - [31], with [32] reporting a negative short-run co-integrating relationship between inflation and securities market performance. Other studies found that inflation rate negatively influenced returns [33] - [38].…”

Section: Inflation Rate and Securities Market Returnsmentioning

confidence: 99%

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Does Public Debt Moderate the Effect of Inflation Rate on Securities Market Returns in Kenya?

Kapchanga

Owili

Onyuma

2018

int.jour.sci.res.mana.

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While in the last one two decades, Kenya has witnessed increasing levels of public borrowing, both domestic and foreign, economic growth has slowed down and the performance of the securities market has been subdued with falling stock prices. This has prompted stock investors to review and/or realign their investment portfolios. While the inflation rate has been drastically fluctuating, public debt – which is strongly inflationary – has had an exponential increase of about 461 percent between 2008 and 2018. Although Kenya’s level of public debt is approaching unsustainable levels, massive borrowing still continues. Using secondary monthly data obtained from government and securities market databases, this paper analyzed whether public debt moderates the relationship between inflation rate and securities market returns at the Nairobi Securities Exchange. Time series multiple linear regression results show that whereas inflation rate has a statistically significant negative effect on securities market returns, public debt had an insignificant negative effect on securities market returns. More importantly, public debt does not statistically affect the relationship between inflation rate and the securities market in Kenya. Putting in place strategies aimed at reducing inflation as well as public debt can however have the effect of improving securities market performance.

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“…Contrary to Fisher's hypothesis, the study's findings also agreed with those of [19] - [25] outside Kenya and [32] - [34], [36] and [38] in Kenya.…”

Section: Effect Of Inflation Rate On Securities Market Returnssupporting

confidence: 55%

Section: Inflation Rate and Securities Market Returnsmentioning

confidence: 99%

Does Public Debt Moderate the Effect of Inflation Rate on Securities Market Returns in Kenya?

Kapchanga

Owili

Onyuma

2018

int.jour.sci.res.mana.

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show abstract

“…For instance, according to KER (2017), net export contributed close to -8.75% to output in 2016. Mutuku and Ng'eny (2014) studied the effects of inflation and other macro-economic variables on the Kenyan equity market from 1997 to 2010. Using the vector error correction (VECM) framework, results noted, inflation negatively influenced the stock market.…”

Section: Introductionmentioning

confidence: 99%

Trade-Off Phillips Curve, Inflation and Economic Implication: The Kenyan Case

Duncan¹,

Li²,

Ssali³

2019

IJEF

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This paper investigated the trade-off and inflation drivers based on the Phillips curve framework to determine the relationship and their impact between inflation, unemployment and output for Kenyan case from 2006:M1 to 2016:M12 by contrasting the 2SLS on 2 different measures of marginal cost with 3 differently instrumented shocks. Results confirmed; (1) significant trade-off that reduced inflation by 2.09% and 0.08% when unemployment and output respectively increase by 1%, while, 1% increase in output demeaned unemployment by 0.02%, (2) the forward-looking inflation and unemployment significantly drive observed inflation, and (3) unlike monetary supply, oil shocks best accounts for the observed dynamics. Although laudable policies been implemented by fiscal and macro-economic planners, they have not achieved the odds to sufficiently contain the import shocks, making both unemployment and the rational expectations to significantly drive the observed inflation. However, revisiting of the incumbent fiscal policies and their tight implementation would facilitate long term price stabilities to reduce the inflationary dynamics. To the significant import shocks, the state should foster feasible macro-economic diversifications, investments policies, modern technologies in real economic activity production, and renewable energy sourcing that would facilitate robust economic growth that would curb large revenue outflows due to commodity imports and cushioning the devaluation of the Kenyan shilling.

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“…As a result, equity cost will increase, that will cause some project investments are not profitable and affects economy growth and then affect stock market as well (Mokhova & Zinecker, 2014). Astuti, Prihatini, and Susanta (2013); Mutuku and Ng'eny (2015); Utami and Rahayu (2004) found that inflation rate has negative relation to stock price index. Barakat, Elgazzar, and Hanafy (2016) found that inflation rate has negative effect to stock price index return.…”

Section: Inflation Rate and The Return Of Financial Stock Price Indexmentioning

confidence: 99%

The Influence of Inflation Rate, Bi Rate, and Exchange Rate Changes to the Financial Sector Stock Price Index Return in the Indonesian Stock Market

Yunita

Robiyanto

2018

jmk

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The objective of this study is to find out how macroeconomic factors such as exchange rate changes, BI rate and inflation rate can affect the financial sector stock price index in IDX from 2011 until 2017. Generalize Autoregressive Conditional Heteroscedasticity (GARCH) is used as the analysis method in this research to find the fittest model. The results are, only exchange rate change that has significant effect to financial sector stock price index. Inflation and BI rate have no significant effect to financial sector stock price index.

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

Cited by 30 publications

References 20 publications

Does Public Debt Moderate the Effect of Inflation Rate on Securities Market Returns in Kenya?

Does Public Debt Moderate the Effect of Inflation Rate on Securities Market Returns in Kenya?

Trade-Off Phillips Curve, Inflation and Economic Implication: The Kenyan Case

The Influence of Inflation Rate, Bi Rate, and Exchange Rate Changes to the Financial Sector Stock Price Index Return in the Indonesian Stock Market

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