The changing market efficiency of the Nairobi securities exchange

This paper tests for market efficiency changes of the Nairobi Securities Exchange (NSE) after the year 2000 and determines whether technological advancements have led to an increase in the market efficiency. The data that are used are the NSE 20 share index over the period, January 2001 to January 2015 and the NSE All Share Index (ASI) from its initiation, in February 2008 to January 2015. The data analysis method applied is the variance ratio test. The study finds that the market efficiency of the NSE has increased over the test period which suggests that advancement in technology has contributed to the increase in the market efficiency of the Kenyan market. Therefore, the findings of the study are in line with the Adaptive Market Hypothesis (AMH) for the NSE