Financial contagion is the act of spreading of a phenomenon within or from the stock markets sector. Stock markets are highly interlinked and happenings on one side of the world are bound to affect the happenings on another side of the world. The contagion can be because of domestic or international factors. The performance of Nairobi Securities exchange (NSE) was measured by the use of the monthly stock prices as provided by the data vendors at the NSE. This research paper used a quantitative research design where econometric models were used in the analysis.