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Modelling size and illiquidity in West African equity markets
journal contribution
posted on 2023-06-08, 11:00 authored by Bruce Hearn, Jenifer PiesseThis 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.
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Publication status
- Published
File Version
- Published version
Journal
Applied Financial EconomicsISSN
0960-3107Publisher
Taylor & FrancisExternal DOI
Issue
13Volume
20Page range
1011-1030Department affiliated with
- Business and Management Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2012-04-24First Compliant Deposit (FCD) Date
2012-02-24Usage metrics
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