Abstract: This study examines the relationship between trading volume and stock returns at the NSE. The sample for the study comprises of all stocks in the NSE 20-share index traded at the Nairobi Securities Exchange (NSE) from the year 2014-2017. There are two objectives of conducting the analysis; To determine the relationship between stock return and trading volume at the NSE and, To determine the relationship between stock returns and past prices at the NSE. The results showed that the NSE exhibits a weak form efficiency market as the current returns of stocks at the NSE are positively related to the lagged returns of the stocks. It concludes that the current returns of traded stocks are significantly affected by past prices and have a positive relationship with the lagged returns. Highly traded volumes (liquid) have high stock returns than the low traded volumes (illiquid) at the NSE.
Keywords: trading volume, stock returns, Nairobi Securities Exchange, Lagged returns.
Title: Relationship between Trading Volume and Stock Returns at the Nairobi Securities Exchange (NSE)
Author: MR. HUSBORN O. KENYANYA, MR. NZYUKO JOSEPH, MR.OMWANSA DAVID
International Journal of Management and Commerce Innovations
ISSN 2348-7585 (Online)
Research Publish Journals
