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This book provides a wider scope on the effect of NSE index, Foreign exchange rate, and Interest rate and Inflation rate in determining macroeconomic environment affecting stock return volatility on Nairobi Stock Exchange. Secondary data from NSE, Central Bank of Kenya (CBK) and Kenya National Bureau of Statistics (KNBS) were employed in the study. The results of the study have been presented in five chapters each handling introduction, literature review, study design and summary of the study findings and conclusion. The major investigations presented in the study were mainly concentrated...

The investigation of the causal relationship between stock market performance and economic growth was conducted using the popular Granger causality test based on the Vector Autoregressive (VAR) model. The statistical techniques used include the unit root Augmented Dickey Fuller test in order to fulfill the objective of stationarity for all the time series in their levels and first differences. The Johansen co-integration test was used to investigate whether the variables are cointegrated of the same order taking into account the trace statistics and the maximum eigen-value tests. The...