International Journal of Academic Management Science Research (IJAMSR)   Year: 2024 | Volume: 8 | Issue: 3 | Page No.: 64-72 Nexus Between Earnings Quality and Idiosyncratic Volatility of Security Returns: Panel Data Evidence from Nairobi Securities Exchange, Kenya. Download PDF Dr.Caleb Orenge Nyarikini Abstract: With the break-out of global pandemics such as the covid-19 causing disruptions and near shut down of major global securities markets, security markets disturbances due to advancement in technology, cut throat competition among global corporates, dynamism in the global political environment and both global and local variability in economic growth rates, volatility of security returns at the securities exchanges has become a norm. However, there is no empirical evidence directly linking firm specific risks posed by earnings quality to volatility of security returns. Therefore, the current study sought to examine the nexus between earnings quality and idiosyncratic volatility of security returns amongst NSE quoted firms. The study employed quantitative research paradigm and correlational research design, using secondary data. The study used purposive sampling method where 24 listed firms were sampled yielding 240 firm-year observations from 2010 to 2019. The study used dynamic fixed effects regression model with panel data in data analysis. Results revealed that the relationship between earnings quality, measured by Accruals Quality and idiosyncratic Volatility of security returns, amongst NSE listed firms, is negative (? = -0.013537, p = 0.0004). Therefore, it is concluded that profitability, measured by EPS, PE and ROE, significantly and negatively affect security returns volatility amongst NSE listed companies in Kenya.