An investigation of the existence of turn of the month effect at the Nairobi Stock Exchange research project

Abstract

The objectives of the study was to investigate the existence of the Turn-of-the-month effect at the Nairobi Stock The study adopted a descriptive survey; descriptive research portrays an accurate profile of persons, transactions /events, or situations and allows for the collection of large amount of data from a sizable population in a highly economical way. The data was analyzed using regression and correlation analysis. Regression analysis was also used to come up with the model expressing the relationship while correlation analysis was used to test for the overall significance of the models as well as the individual significance of the predictor variables. The study found that there exist Turn-of-the-month effect at the Nairobi Stock, that is, the coefficient of determinations for all the companies listed at NSE was greater than 90%. Further the study identified D1 (the first day before the end of the month), D4 (the first day after the end of the month) and D5 (the second day after the end of the month), were significantly related with market return at time (Turn of the Month Effect).