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

Cyrus Mutuku () and Kirwa Lelei Ng¡¯eny ()

Business and Economic Research, 2015, vol. 5, issue 1, 1-10

Abstract: The study investigates the dynamic relationship between stock prices and four macroeconomic variables in Kenya using cointegration and vector autoregressive framework. The VAR and VECM analysis reveals 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.

Keywords: Stock market; VAR; VECM; Macroeconomic variables (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.macrothink.org/journal/index.php/ber/article/view/6733/5538 (application/pdf)
http://www.macrothink.org/journal/index.php/ber/article/view/6733 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mth:ber888:v:5:y:2015:i:1:p:1-10

Access Statistics for this article

Business and Economic Research is currently edited by Daisy Young

More articles in Business and Economic Research from Macrothink Institute
Bibliographic data for series maintained by Technical Support Office ( this e-mail address is bad, please contact ).