The Behavior of Stock-Market Prices.

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Science and Education An Open Access and Academic Publisher. Analysis of Asymmetric and Persistence in Stock Return Volatility in the Nairobi Securities Exchange Market Phases Ogega Haggai Owidi 1, Freshia Mugo-Waweru 1. Volatility persistence of stock returns has a major effect on future volatility of the market under the influence of shocks while asymmetric volatility increases market risk thus, fascinating features of stock market behaviour.

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This paper examines behaviour of stock return volatility in the Kenyan stock exchange market phases for the NSE20 share index and the 10 sampled stocks over 11 years. The asymmetric effect and volatility persistence were fama 1965 the behavior of stock-market prices by the Fractionally Integrated Exponential FIEGARCH 1,d,1. The study detected consistent peaks and troughs in the sampled series, obtaining in all cases two bear and three bull phases.

The outcome shows persistent bullish make money selling on trademe than the bearish with bear phases much more frequent.

Diagnostic tests and estimates shows volatility clustering, that is, shocks to the volatility fama 1965 the behavior of stock-market prices persist and react to news arrival asymmetrically with positive news impacting more during bullish and negative news during bearish.

The results indicate non-systematic pattern across all stocks though a higher degree of dependence in both the level and volatility in the bull periods is detected. The empirical results would be beneficial to investors and surveillance regime as it provides indication of behaviour of stock market volatility during the market phases.

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Adopted FIEGARCH models have capability of modelling clusters of volatility and capturing its asymmetry taking into account the characteristic of long memory in the volatility. Findings robustness tested using two bear and three bull cycles. Few studies have examined the behaviour of stock returns volatility during bull and bear stock market phases with the majority of work done on developed markets.

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