摘要：AbstractThis paper promulgates an innovative measure of market immediacy; that is, Coefficient of Elasticity Trading Three (CET3). The data from Nairobi Securities Exchange has been used to estimate market immediacy (proxied by three versions ofCET; that is,CET1,CET2andCET3). On the other hand, macroeconomic data on economic growth, general government final consumption expenditure, foreign direct investment (FDI) and inflation for the same period were obtained from Kenya National Bureau of Statistics. An Ordinary Least Square (OLS) regression with economic growth as a regressand and market immediacy and macroeconomic array of conditional information set as regressors have been used to determine which version ofCETis more robust than the rest. The diagnostic tests consisted among others Granger causality, Augmented Dicker Fuller test (ADF) and Autoregressive Distributed Lag (ARDL) model analysis. The OLS regressionp-values, AdjustedR2and standard errors demonstrate thatCET3is a better measure of market immediacy thanCET1andCET2.
关键词：Market immediacy;Economic growth;Inflation;Foreign direct investment;Government expenditure;Coefficient of elasticity trading three;Autoregressive distributed lag model
