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Liquidity Estimation in African Emerging Markets
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posted on 2023-06-08, 11:00 authored by Bruce HearnAfrican 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)
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- Published version
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The Egyptian Exchange: Occasional PapersPublisher
The Egyptian Exchange (EGX)Issue
6Pages
70.0Place of publication
CairoDepartment affiliated with
- Business and Management Publications
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The Egyptian ExchangeFull text available
- No
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- No
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2012-04-24First Compliant Deposit (FCD) Date
2016-03-22Usage metrics
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