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Cited by 12Financial Markets and Investment StrategiesMonetary Policy and Economic ImpactMarket Dynamics and Volatility

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Estimation of market immediacy by Coefficient of Elasticity of Trading three approach

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Wanzala, Richard Wamalwa·2018·The Journal of Finance and Data Science
DOI 10.1016/j.jfds.2018.02.006
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Abstract

This paper promulgates an innovative measure of market immediacy; that is, Coefficient of Elasticity Trading Three (CET3). The data from Nairobi Securities Exchange has been used to estimate market immediacy (proxied by three versions of CET; that is, CET1, CET2 and CET3). On the other hand, macroeconomic data on economic growth, general government final consumption expenditure, foreign direct investment (FDI) and inflation for the same period were obtained from Kenya National Bureau of Statistics. An Ordinary Least Square (OLS) regression with economic growth as a regressand and market immediacy and macroeconomic array of conditional information set as regressors have been used to determine which version of CET is more robust than the rest. The diagnostic tests consisted among others Granger causality, Augmented Dicker Fuller test (ADF) and Autoregressive Distributed Lag (ARDL) model analysis. The OLS regression p-values, Adjusted R2 and standard errors demonstrate that CET3 is a better measure of market immediacy than CET1 and CET2.

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Metadata

Authors
Wanzala, R. W.
Affiliations
Jomo Kenyatta University of Agriculture and Technology (KE)
Corresponding author
Wanzala, Richard Wamalwa
ORCID
Wanzala, Richard Wamalwa
Venue
The Journal of Finance and Data Science
Publisher
Elsevier BV
Published
2018-09
Volume
4
Issue
3
Pages
139-156
ISSN
2405-9188 (ISSN-L)
DOI
10.1016/j.jfds.2018.02.006
OpenAlex
W2791259300
Cited by
12
References
1
Citations by year
2024: 3 · 2023: 3 · 2022: 2 · 2021: 2 · 2020: 2
FWCI
1.32
Type
journal article
Language
en
Open access
Licence
Locations
  • The Journal of Finance and Data Science (publishedVersion, cc-by-nc-nd)
  • DOAJ (DOAJ: Directory of Open Access Journals) (submittedVersion, cc-by-sa)
Topics
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
  • Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Market Dynamics and Volatility
Keywords
Nairobi Securities Exchange, economic growth, government consumption, foreign direct investment, inflation, stock market efficiency

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