Bio

Personal Information

Interests

Reading, Traveling and Listening to Music

Research Areas

Financial Markets, Public Finance, Monetary Policy, Banking and Investments, and Entrepreneurship

Dr. KISAKA ERASTUS SIFUNJO CV

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Publications


2012

KISAKA, ES, MWASARU A.  2012.  The Causal Relationship between Exchange Rates and Stock Prices in Kenya. Research of Finance and Accounting, Vol 3, N0. 7, 2012. 3(7):121-130.: University of Nairobi Press AbstractWebsite

This study examined the causal relationship between foreign exchange rates and stock prices in Kenya from November 1993 to May 1999. The data set consisted of monthly observations of the NSE stock price index and the nominal Kenya shillings per US dollar exchange rates. The objective was to establish the causal linkages between leading prices in the foreign exchange market and the Nairobi Securities Exchange (NSE). The empirical results show that foreign exchange rates and stock prices are non-stationary both in first differences and level forms, and the two variables are integrated of order one, in Kenya. Secondly, we tested for co-integration between exchange rates and stock prices. The results show that the two variables are co-integrated. Thirdly, we used error-correction models instead of the classical Granger-causality tests since the two variables are co-integrated. The empirical results indicate that exchange rates Granger-causes stock prices in Kenya.

2009

SIFUNJO, DRKISAKAERASTUS.  2009.  Public Finance, Open and Distance Learning Module,. Economic Bulletin, Vol. 14, No.2, pp. 1 . : University of Nairobi Press AbstractWebsite

This study examined the RWH using the run tests, Ljung-Box statistics, and the unit root tests. The data covered the period starting January 1994 to June 2007 for the daily closing prices of the Ksh/UD dollar spot rate. The main finding of this study is that the RWH is strongly rejected at the 5% significance level. The results indicate that the rejections are due to autocorrelation in currency returns. The exchange rate tends to appreciate most of the time over the sample period. Therefore failure of the EMH could be due to exchange rate undershooting and overshooting phenomena. The unit root tests showed that the exchange rate data is non-stationary while returns are stationary. Therefore the evidence strongly suggested that the foreign exchange market is not efficient.

SIFUNJO, MRKISAKAERASTUS.  2009.  Monetary Theory and Practice, Open and Distance Learning Module. Economic Bulletin, Vol. 14, No.2, pp. 1 . : University of Nairobi Press Abstract
This study examined the RWH using the run tests, Ljung-Box statistics, and the unit root tests. The data covered the period starting January 1994 to June 2007 for the daily closing prices of the Ksh/UD dollar spot rate. The main finding of this study is that the RWH is strongly rejected at the 5% significance level. The results indicate that the rejections are due to autocorrelation in currency returns. The exchange rate tends to appreciate most of the time over the sample period. Therefore failure of the EMH could be due to exchange rate undershooting and overshooting phenomena. The unit root tests showed that the exchange rate data is non-stationary while returns are stationary. Therefore the evidence strongly suggested that the foreign exchange market is not efficient.

2008

SIFUNJO, MRKISAKAERASTUS.  2008.  An Analysis of the Efficiency of the Foreign Exchange Market in Kenya. Economic Bulletin, Vol. 14, No.2, pp. 1 . : BEP Electronic Press Abstract
This study examined the RWH using the run tests, Ljung-Box statistics, and the unit root tests. The data covered the period starting January 1994 to June 2007 for the daily closing prices of the Ksh/UD dollar spot rate. The main finding of this study is that the RWH is strongly rejected at the 5% significance level. The results indicate that the rejections are due to autocorrelation in currency returns. The exchange rate tends to appreciate most of the time over the sample period. Therefore failure of the EMH could be due to exchange rate undershooting and overshooting phenomena. The unit root tests showed that the exchange rate data is non-stationary while returns are stationary. Therefore the evidence strongly suggested that the foreign exchange market is not efficient.

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