Predictive models for Nairobi stock exchange share price

Abstract

The Nairobi Stock Exchange (NSE) founded in 1954, as a Tcluntary organisation of the stockbrokers is now one of the most active capital markets in African where investors buy and sell snares and other securities. The share prices in the stock market ;sually vary with time and this can be attributed to factors such as changes in the economic growth of the region, threat of war or szrikes, government policies or political changes. These factors are non deterministic in nature and highly autocorrelated. Share prices movements in the NSE market are measured by an index based on 20 representative companies and is calculated on a iaily basis. The index is a general price movement indicator based on a sample or upon all the stock market companies and the sale and purchase decisions are based on its movements. The forecasts of future trends of share prices are often based an subjective factors, thus in this study appropriate forecasting models for determining the future share prices trends on the market are developed. The models are based on the stock market index as well as the share prices for Barclays Bank of Kenya Ltd, ICDC investment Company Ltd, Kenya Commercial Bank Ltd, Standard Chartered Bank Kenya Ltd, BAT Kenya Ltd and Kenya Breweries Ltd.