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Papers by Samuel Onyuma, PhD

Research paper thumbnail of Day-of-the-Week and Month-of-the-Year Effect on the Kenyan Stock Market Returns

Capital markets are normally assumed to be efficient in relation to the instantaneous incorporati... more Capital markets are normally assumed to be efficient in relation to the instantaneous incorporation of all known and new arriving information into prices of securities. Studies assessing the efficiency of capital markets have reported mixed results, some of which are against the efficient markets theory. The purpose of this study was to determine if daily and monthly seasonal anomalies do exist in the Kenyan stock market. Data on prices and adjusted returns derived from the NSE 20 index were analysed using regression analysis to identify the behaviour of stock investors in Kenya during 1980 indicate that Monday produces the lowest negative returns, while Friday and January produce the largest positive returns. These results are useful in providing evidence of deviation from the efficient markets theory and in drawing conclusions about anomalies in an emerging stock market. Finding highest return volatility on Friday and lowest on Monday might be due to several economic news announcements released on Thursdays and Fridays, and is consistent with informed trader argument. The returns are therefore influenced by foreign portfolio investor behaviour and delays in receiving news released from foreign financial markets. Day-of-the-week effect and January effect patterns in return and volatility might enable investors to take advantage of relatively regular shifts in the market by designing trading strategies, which accounts for such predictable patterns.

Research paper thumbnail of Day-of-the-Week and Month-of-the-Year Effect on the Kenyan Stock Market Returns

Capital markets are normally assumed to be efficient in relation to the instantaneous incorporati... more Capital markets are normally assumed to be efficient in relation to the instantaneous incorporation of all known and new arriving information into prices of securities. Studies assessing the efficiency of capital markets have reported mixed results, some of which are against the efficient markets theory. The purpose of this study was to determine if daily and monthly seasonal anomalies do exist in the Kenyan stock market. Data on prices and adjusted returns derived from the NSE 20 index were analysed using regression analysis to identify the behaviour of stock investors in Kenya during 1980 indicate that Monday produces the lowest negative returns, while Friday and January produce the largest positive returns. These results are useful in providing evidence of deviation from the efficient markets theory and in drawing conclusions about anomalies in an emerging stock market. Finding highest return volatility on Friday and lowest on Monday might be due to several economic news announcements released on Thursdays and Fridays, and is consistent with informed trader argument. The returns are therefore influenced by foreign portfolio investor behaviour and delays in receiving news released from foreign financial markets. Day-of-the-week effect and January effect patterns in return and volatility might enable investors to take advantage of relatively regular shifts in the market by designing trading strategies, which accounts for such predictable patterns.

Research paper thumbnail of REGIONAL INTEGRATION OF STOCK EXCHANGES IN AFRICA

Although stock markets contribute to economic development, the advances in technology, globalisat... more Although stock markets contribute to economic development, the advances in technology, globalisation, stiff competition, institutionalisation of capital markets, and their traditional nature as self-regulatory, controlled and governed by members or governments threaten their well-being. Elsewhere, exchanges are demutualizing and integrating with others domestically or across borders. African stock exchanges cannot ignore these developments. This article discusses the implications of globalisation to stock markets, benefits and impediments to stock market integration, and suggests how to promote integration of stock markets. It argues that becoming cost-efficient, transparent, widely accountable, and contributively to regional integration, Africa exchanges must first adapt to global standards, improve their governance practices before thinking of regional integration. Harmonizing listing, trading and settlement systems and rules, and adopting a single currency are crucial as developing mutual commitment and other ties bonding cooperating exchanges. Successful integration requires meticulous planning and execution, political determination and economic rationale. Further progress in developing domestic exchanges must precede any move to integrate. Creating a single African stock market is a complex undertaking thus domestic exchanges should consider forming closer cooperation through cross-border listing and information and technology sharing. From these regional alliances, continental integration could then be considered. 1. S.O. Onyuma (2006) Regional Integration of Stock Exchanges in Africa. African Review of Money, Banking & Finance (Supplement Issue) December, pp. 99-124.

Research paper thumbnail of Assumptions about Microenterprise Lending as a Precondition for Development: A Critical Review

Eastern Africa Social Science Research Review, 2008

Capital markets are normally assumed to be efficient in relation to the instantaneous incorporati... more Capital markets are normally assumed to be efficient in relation to the instantaneous incorporation of all known and new arriving information into prices of securities. Studies assessing the efficiency of capital markets have reported mixed results, some of which are against the efficient markets theory. The purpose of this study was to determine if daily and monthly seasonal anomalies do exist in the Kenyan stock market. Data on prices and adjusted returns derived from the NSE 20 index were analysed using regression analysis to identify the behaviour of stock investors in Kenya during 1980Kenya during -2006. Results indicate that Monday produces the lowest negative returns, while Friday and January produce the largest positive returns. These results are useful in providing evidence of deviation from the efficient markets theory and in drawing conclusions about anomalies in an emerging stock market. Finding highest return volatility on Friday and lowest on Monday might be due to several economic news announcements released on Thursdays and Fridays, and is consistent with informed trader argument. The returns are therefore influenced by foreign portfolio investor behaviour and delays in receiving news released from foreign financial markets. Day-of-the-week effect and January effect patterns in return and volatility might enable investors to take advantage of relatively regular shifts in the market by designing trading strategies, which accounts for such predictable patterns.

Research paper thumbnail of Testing Market Integration for Fresh Pineapples in Kenya

Research paper thumbnail of MYTHS OF MICROFINANCE AS A PANACEA FOR POVERTY ERADICATION AND WOMEN EMPOWERMENT

The discussion of whether provision of microcredit to the poor could change the social equation a... more The discussion of whether provision of microcredit to the poor could change the social equation and conditions in which the poor, especially women, live in rural areas is a current debate.

Research paper thumbnail of Day-of-the-Week and Month-of-the-Year Effect on the Kenyan Stock Market Returns

Eastern Africa Social Science Research Review, 2009

Capital markets are normally assumed to be efficient in relation to the instantaneous incorporati... more Capital markets are normally assumed to be efficient in relation to the instantaneous incorporation of all known and new arriving information into prices of securities. Studies assessing the efficiency of capital markets have reported mixed results, some of which are against the efficient markets theory. The purpose of this study was to determine if daily and monthly seasonal anomalies do exist in the Kenyan stock market. Data on prices and adjusted returns derived from the NSE 20 index were analysed using regression analysis to identify the behaviour of stock investors in Kenya during 1980 indicate that Monday produces the lowest negative returns, while Friday and January produce the largest positive returns. These results are useful in providing evidence of deviation from the efficient markets theory and in drawing conclusions about anomalies in an emerging stock market. Finding highest return volatility on Friday and lowest on Monday might be due to several economic news announcements released on Thursdays and Fridays, and is consistent with informed trader argument. The returns are therefore influenced by foreign portfolio investor behaviour and delays in receiving news released from foreign financial markets. Day-of-the-week effect and January effect patterns in return and volatility might enable investors to take advantage of relatively regular shifts in the market by designing trading strategies, which accounts for such predictable patterns.

Research paper thumbnail of Day-of-the-Week and Month-of-the-Year Effect on the Kenyan Stock Market Returns

Capital markets are normally assumed to be efficient in relation to the instantaneous incorporati... more Capital markets are normally assumed to be efficient in relation to the instantaneous incorporation of all known and new arriving information into prices of securities. Studies assessing the efficiency of capital markets have reported mixed results, some of which are against the efficient markets theory. The purpose of this study was to determine if daily and monthly seasonal anomalies do exist in the Kenyan stock market. Data on prices and adjusted returns derived from the NSE 20 index were analysed using regression analysis to identify the behaviour of stock investors in Kenya during 1980 indicate that Monday produces the lowest negative returns, while Friday and January produce the largest positive returns. These results are useful in providing evidence of deviation from the efficient markets theory and in drawing conclusions about anomalies in an emerging stock market. Finding highest return volatility on Friday and lowest on Monday might be due to several economic news announcements released on Thursdays and Fridays, and is consistent with informed trader argument. The returns are therefore influenced by foreign portfolio investor behaviour and delays in receiving news released from foreign financial markets. Day-of-the-week effect and January effect patterns in return and volatility might enable investors to take advantage of relatively regular shifts in the market by designing trading strategies, which accounts for such predictable patterns.

Research paper thumbnail of Day-of-the-Week and Month-of-the-Year Effect on the Kenyan Stock Market Returns

Capital markets are normally assumed to be efficient in relation to the instantaneous incorporati... more Capital markets are normally assumed to be efficient in relation to the instantaneous incorporation of all known and new arriving information into prices of securities. Studies assessing the efficiency of capital markets have reported mixed results, some of which are against the efficient markets theory. The purpose of this study was to determine if daily and monthly seasonal anomalies do exist in the Kenyan stock market. Data on prices and adjusted returns derived from the NSE 20 index were analysed using regression analysis to identify the behaviour of stock investors in Kenya during 1980 indicate that Monday produces the lowest negative returns, while Friday and January produce the largest positive returns. These results are useful in providing evidence of deviation from the efficient markets theory and in drawing conclusions about anomalies in an emerging stock market. Finding highest return volatility on Friday and lowest on Monday might be due to several economic news announcements released on Thursdays and Fridays, and is consistent with informed trader argument. The returns are therefore influenced by foreign portfolio investor behaviour and delays in receiving news released from foreign financial markets. Day-of-the-week effect and January effect patterns in return and volatility might enable investors to take advantage of relatively regular shifts in the market by designing trading strategies, which accounts for such predictable patterns.

Research paper thumbnail of REGIONAL INTEGRATION OF STOCK EXCHANGES IN AFRICA

Although stock markets contribute to economic development, the advances in technology, globalisat... more Although stock markets contribute to economic development, the advances in technology, globalisation, stiff competition, institutionalisation of capital markets, and their traditional nature as self-regulatory, controlled and governed by members or governments threaten their well-being. Elsewhere, exchanges are demutualizing and integrating with others domestically or across borders. African stock exchanges cannot ignore these developments. This article discusses the implications of globalisation to stock markets, benefits and impediments to stock market integration, and suggests how to promote integration of stock markets. It argues that becoming cost-efficient, transparent, widely accountable, and contributively to regional integration, Africa exchanges must first adapt to global standards, improve their governance practices before thinking of regional integration. Harmonizing listing, trading and settlement systems and rules, and adopting a single currency are crucial as developing mutual commitment and other ties bonding cooperating exchanges. Successful integration requires meticulous planning and execution, political determination and economic rationale. Further progress in developing domestic exchanges must precede any move to integrate. Creating a single African stock market is a complex undertaking thus domestic exchanges should consider forming closer cooperation through cross-border listing and information and technology sharing. From these regional alliances, continental integration could then be considered. 1. S.O. Onyuma (2006) Regional Integration of Stock Exchanges in Africa. African Review of Money, Banking & Finance (Supplement Issue) December, pp. 99-124.

Research paper thumbnail of Assumptions about Microenterprise Lending as a Precondition for Development: A Critical Review

Eastern Africa Social Science Research Review, 2008

Capital markets are normally assumed to be efficient in relation to the instantaneous incorporati... more Capital markets are normally assumed to be efficient in relation to the instantaneous incorporation of all known and new arriving information into prices of securities. Studies assessing the efficiency of capital markets have reported mixed results, some of which are against the efficient markets theory. The purpose of this study was to determine if daily and monthly seasonal anomalies do exist in the Kenyan stock market. Data on prices and adjusted returns derived from the NSE 20 index were analysed using regression analysis to identify the behaviour of stock investors in Kenya during 1980Kenya during -2006. Results indicate that Monday produces the lowest negative returns, while Friday and January produce the largest positive returns. These results are useful in providing evidence of deviation from the efficient markets theory and in drawing conclusions about anomalies in an emerging stock market. Finding highest return volatility on Friday and lowest on Monday might be due to several economic news announcements released on Thursdays and Fridays, and is consistent with informed trader argument. The returns are therefore influenced by foreign portfolio investor behaviour and delays in receiving news released from foreign financial markets. Day-of-the-week effect and January effect patterns in return and volatility might enable investors to take advantage of relatively regular shifts in the market by designing trading strategies, which accounts for such predictable patterns.

Research paper thumbnail of Testing Market Integration for Fresh Pineapples in Kenya

Research paper thumbnail of MYTHS OF MICROFINANCE AS A PANACEA FOR POVERTY ERADICATION AND WOMEN EMPOWERMENT

The discussion of whether provision of microcredit to the poor could change the social equation a... more The discussion of whether provision of microcredit to the poor could change the social equation and conditions in which the poor, especially women, live in rural areas is a current debate.

Research paper thumbnail of Day-of-the-Week and Month-of-the-Year Effect on the Kenyan Stock Market Returns

Eastern Africa Social Science Research Review, 2009

Capital markets are normally assumed to be efficient in relation to the instantaneous incorporati... more Capital markets are normally assumed to be efficient in relation to the instantaneous incorporation of all known and new arriving information into prices of securities. Studies assessing the efficiency of capital markets have reported mixed results, some of which are against the efficient markets theory. The purpose of this study was to determine if daily and monthly seasonal anomalies do exist in the Kenyan stock market. Data on prices and adjusted returns derived from the NSE 20 index were analysed using regression analysis to identify the behaviour of stock investors in Kenya during 1980 indicate that Monday produces the lowest negative returns, while Friday and January produce the largest positive returns. These results are useful in providing evidence of deviation from the efficient markets theory and in drawing conclusions about anomalies in an emerging stock market. Finding highest return volatility on Friday and lowest on Monday might be due to several economic news announcements released on Thursdays and Fridays, and is consistent with informed trader argument. The returns are therefore influenced by foreign portfolio investor behaviour and delays in receiving news released from foreign financial markets. Day-of-the-week effect and January effect patterns in return and volatility might enable investors to take advantage of relatively regular shifts in the market by designing trading strategies, which accounts for such predictable patterns.