Modelling size and illiquidity in West African equity markets

Hearn, Bruce and Piesse, Jenifer (2010) Modelling size and illiquidity in West African equity markets. Applied Financial Economics, 20 (13). pp. 1011-1030. ISSN 0960-3107

[img] PDF - Published Version
Restricted to SRO admin only

Download (547kB)

Abstract

This paper assesses the effectiveness of traded turnover and Amihud (2002) metrics in measuring illiquidity, as used in a multifactor CAPM. The performance of this model is contrasted with GARCH and simple stochastic drift models on a new sample of five West African equity markets: Cote d’Ivoire, Ghana, Nigeria, Morocco and Tunisia, together with developed markets in London and Paris. Analysis of portfolio characteristics reveals that investment strategies based on Francophone markets outperform those of Anglophone markets in Africa, despite their lower mean returns. There is some evidence of limited benefits to investors from including assets from the small and highly illiquid Cote d’Ivoire and Ghanaian markets.

Item Type: Article
Schools and Departments: School of Business, Management and Economics > Business and Management
Subjects: H Social Sciences > HG Finance > HG3810 Foreign exchange. International finance. International monetary system
H Social Sciences > HG Finance > HG4001 Finance management. Business finance. Corporation finance
Related URLs:
Depositing User: Bruce Hearn
Date Deposited: 24 Apr 2012 11:15
Last Modified: 08 Mar 2017 04:54
URI: http://sro.sussex.ac.uk/id/eprint/38151

View download statistics for this item

📧 Request an update