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Journal of Global Economics

ISSN: 2375-4389

Open Access

Current Issue

Volume 8, Issue 2 (2020)

    Research Article Pages: 1 - 5

    Cointegrating Relationship between Macroeconomic Variables and Stock Market Prices in Nairobi Securities Exchange

    Cornelius Kiprono Serem, Ernest Saina and Alfred Serem

    DOI: 10.37421/economics.2020.8.345

    The study of stock market prices movements and macroeconomic indicators has been imperative in view of the country’s economic growth because the most sensitive segment of any developing economy is its stock market. The buy and sell decision rule are affected by the investor’s psychology which exerts influence on the macroeconomic events. The very critical question when it comes to this is that how instantaneous the information is transferred to the investors and market analyst and in return reflects on stock market prices. Therefore, the purpose of this paper was to analyze cointegrating relationship between macroeconomic indicators and the stock market prices in the context of Nairobi Securities Exchange. The paper used longitudinal research design using monthly secondary data for the period 2005 to 2018. The data were sourced from NSE, KNBS and Central Bank of Kenya. Augmented Dickey Fuller test confirmed the presence of unit root at levels for some variables, and all the variables attained stationarity after first difference. The Optimum lag length selected was 3. Johansen cointegration test showed that the variables were cointegrated thus Vector Error Correction Model was used to estimate the parameters. The error correction term was -1.1804 and significant at p-value 0.000 indicating a long-term existence between variables and the stock market prices. Jarque-Bera test showed the residuals followed normal distribution. Inflation and interest rate negatively and significantly affected stock market prices at coefficient -0.8371 (p-value 0.005) and -4.0876 (0.000) respectively. However, Exchange rate and nominal GDP had positive and significant effects on stock prices at 0.0001 (p-value=0.012) and 0.00002 (p-value=0.000) respectively. It was recommended based on the findings that the government should adopt expansionary monetary policy to by regulating interest rate and stabilizing exchange rate to create more money for investors. There is need for the government to encourage activities that increases GDP since it is an important macroeconomic indicator for health economy.

    Research Article Pages: 1 - 9

    Forecasting the Volatility of Coffee Arabica and Crude Oil Prices with a High Frequency Data

    Dawit Yeshiwas and Endalew Tesfa

    DOI: 10.37421/economics.2020.8.346

    Modeling, analyzing, and forecasting volatility has been the subject of extensive research among academics, practitioners and portfolio managers. This paper estimates a variety of GARCH models using weekly closing price (in USD/barrel) of Brent crude oil and weekly closing prices (in USD/pound) of coffee Arabica, and compares the forecasting performance of these models based on a high frequency intra-day data which allows for a more precise realized volatility measurement. The study used weekly price data to explicitly model volatility, and employed high-frequency intra-day data to assess model forecasting performance. The analysis points to the conclusion that GARCH (1,1) for Arabica coffee and GARCH (1,2) crude oil returns were best models, respectively with Student’s t distributed innovation terms is the most accurate volatility forecasting models in the context of our empirical setting. We recommend and encourage future researchers studying the forecasting performance of GARCH models to pay particular attention to the measurement of realized volatility, and employ high-frequency data whenever feasible.

    Review Article Pages: 1 - 3

    The Initial Public Offers Feeding Frenzy

    Nitin Shanker and Arul Francis S

    DOI: 10.37421/economics.2020.8.347

    Trends in the top Initial Public Offers (IPOs) of several popular private companies in India has shown to great effect that the market quotes a higher than usual value for the these private companies due to a frenzy among the public. This phenomenon is hypothesised by tracking various top IPOs which have taken place over the years with respect to popularity and the number of shares that have been issued in the market. Different other theories are also accounted for and have been encompassed along, the reasons for this frenzy widely differs from price offered during the opening bell to media releases.

    Editor’s Note Pages: 1 - 1

    Editor Note Journal of Global Economics

    Salvatore Drago

    DOI: 1

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