Stock price reaction to earnings announcements: a comparative test of market efficiency between NSE securities exchange and JSE securities exchange

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dc.contributor.author Rono, Hilda Chepchumba
dc.date.accessioned 2013-08-22T08:49:06Z
dc.date.available 2013-08-22T08:49:06Z
dc.date.issued 2013-08-22
dc.identifier.uri http://hdl.handle.net/10539/13058
dc.description Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013. en_ZA
dc.description.abstract This study examined stock market reaction to annual earnings announcements using the most recent data from the Nairobi Securities Exchange (Kenya) and JSE Securities exchange (South Africa). The period of study is 1 January 2005, to 31 December, 2011. Using the event study methodology, the magnitude of market reaction to the earnings announcements for a sample of 261 listed firms on NSE and JSE is tested. Abnormal returns (ARs) were computed for each firm and tested how announcements impact a firms’ share price. The results show positive and significant returns on the announcement month for JSE, whereas the returns for NSE are negative and significant on the second month after announcement. In our study, JSE and NSE observed mean CAR of (+1.64%) and (-1.8606) respectively, suggesting that earnings contain important information for the market. We find that there is no post earnings announcement drift observed over the next six months after the announcement. The results are consistent with the efficient market hypothesis, thus suggesting that the Johannesburg securities exchange and Nairobi securities exchange are informationally efficient to earnings announcements by the sample of listed firms. Furthermore, our results show NSE firms performed better than JSE firms during the economic boom and meltdown, whereas JSE firms observed a good performance during the economic recession compared to NSE firms. en_ZA
dc.language.iso en en_ZA
dc.subject Stocks en_ZA
dc.subject Prices en_ZA
dc.subject Johannesburg Stock Exchange en_ZA
dc.subject Nairobi Securities Exchange en_ZA
dc.subject Kenya en_ZA
dc.subject South Africa en_ZA
dc.title Stock price reaction to earnings announcements: a comparative test of market efficiency between NSE securities exchange and JSE securities exchange en_ZA
dc.type Thesis en_ZA


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