Relationship Between Asymmetric Information and Equity Returns in the Kenyan Capital Market. A Cointegration Approach

This paper sought to investigate the cointegration relationship between asymmetric information and equity returns. Previous literature has shown influences Assets returns but it is less known whether there exists a long run these variables. In this regard stationarity tests Johansen test were employed ascertain two Data composed of monthly transaction on 20 equities used in formulation NSE share index over period Jan 2009 up March 2018 which formed 111 data points. The results showed that stationary at levels using Augmented Dickey Fuller Test, Phillip-Perron KPSS while Asymmetric was non-stationary levels, first difference. also weakly positively correlated insignificant , r (99) = .08, p =.35 with Pearson’s correlation coefficient. Cointegration indicated existence cointegrating equation indicating significant where decrease 0.0093% associated an increase vice versa. We conclude Keywords : information, Equity DOI: 10.7176/RJFA/12-18-07 Publication date: September 30 th 2021