Effect of Trading Volume on Market Returns of Equity Securities Market in Kenya


Effect of Trading Volume on Market Returns of Equity Securities Market in Kenya


Mwiti Jedidah Karwitha, Willy Muturi, Oluoch J. Oluoch

School of Business, Jomo Kenyatta University of Agriculture and Technology P.O Box 62000-00200 Nairobi, Kenya


Global-journal-of-Economics-and-Business-Administration

The study aimed to establish the effect of trading volume on market returns of securities traded in Kenyan securities exchange market. The study used secondary data from all the firms listed in NSE during the period 2004 to 2016. The target population of the study consisted of the sixty 62 companies listed in Nairobi securities exchange market that is, both financial and non-financial companies. The study was a census study of all the sixty 2 companies listed in the Nairobi security exchange market for 13 years starting the year 2004 to the year 2016. The study started with descriptive and then diagnostic tests. The measures of central tendency used to test normality were mean, median, maximum and minimum value, standard deviation, skewness, kurtosis and Jarque-Bera (JB) test. The results from these tests showed that the variables were fairly normally distributed. The study further sought to investigate the stationality properties of market returns, trading volume. The study used five panel data unit root tests. Particularly the test were, Levin, Lin and Chu t, Breitung t-stat, Im, Pesaran and Shin W-stat developed, Fisher-type tests using augmented dickey fuller ADF and (Phillip and Peron) PP tests. The all these tests revealed that the variables were stationary on average. The study also sought to test the granger causality among the variable. The results from granger causality showed that some of the variables granger caused one another. The cointegration results showed that there was long-run equilibrium. The regression techniques used was Cross-section fixed (dummy variables) and Period fixed (dummy variables). The regression results revealed that the variables were statistically significant effect on market returns trading volume had a positive effect on the market returns. It is therefore in this light that the future research should consider other variables which would increase the predictive power of the model. The other relevant variables would be variables such as the size of the firm, market value of the firm and the macroeconomic variables such as exchange rate, inflation, money supply among others.


Keywords: Trading Volume, Market returns, unit root and cointegration

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How to cite this article:
Mwiti Jedidah Karwitha, Willy Muturi, Oluoch J. Oluoch. Effect of Trading Volume on Market Returns of Equity Securities Market in Kenya. Global journal of Economics and Business Administration, 2018,3: 12. DOI: 10.28933/gjeba-2018-09-2301


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