Liquidity Estimation in African Emerging Markets

Hearn, Bruce (2009) Liquidity Estimation in African Emerging Markets. Working Paper. The Egyptian Exchange (EGX), Cairo.

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Abstract

African emerging equity market returns are characterized by volatile, but substantial returns, which are affected considerably by varying degrees of liquidity cost ranging from 0.15% in Morocco to 53.37% in Tunisia. Many of the markets are dominated by a smaller group of blue chip stocks and intra-market liquidity differences can be extreme with differences greater than 100% in South Africa between the market aggregate and the constituents of the prestigious JSE Top 40 index. Using firm-level bid-ask quoted prices for six African markets of Morocco, Tunisia, Egypt, Kenya, BRVM and South Africa as well as two European markets of London and Paris the evidence suggests that the percentage of zero daily returns price rigidity measure and the Liu (2006) trading speed constructs perform better at representing inter and intra-market liquidity effects than price-impact measures such as Amihud (2002)

Item Type: Reports and working papers (Working Paper)
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
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Depositing User: Bruce Hearn
Date Deposited: 24 Apr 2012 09:57
Last Modified: 24 Apr 2012 10:47
URI: http://sro.sussex.ac.uk/id/eprint/38156

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