Modelling size and liquidity in North African industrial sectors

Hearn, Bruce (2011) Modelling size and liquidity in North African industrial sectors. Emerging Markets Review, 12 (1). pp. 21-46. ISSN 1566-0141

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Abstract

This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital asset pricing model (CAPM) including size premiums and a time-varying parameter model for the North African emerging markets of Algeria, Egypt, Morocco and Tunisia. The evidence suggests that size and liquidity effects are least significant in Morocco which is reflected in its low cost of equity while that in Egypt and Tunisia is significantly higher. Time-varying profiles of liquidity betas provide evidence that Morocco and Egypt have been affected by the 2007/2008 global financial crisis while the Tunisian market is relatively unaffected.

Item Type: Article
Keywords: Liquidity; CAPM; Kalman filter; Emerging financial markets; North Africa
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
Depositing User: Bruce Hearn
Date Deposited: 24 Apr 2012 09:24
Last Modified: 09 Aug 2012 09:14
URI: http://sro.sussex.ac.uk/id/eprint/38160
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