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Liquidity Estimation in African Emerging Markets

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posted on 2023-06-08, 11:00 authored by Bruce Hearn
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)

History

Publication status

  • Published

File Version

  • Published version

Journal

The Egyptian Exchange: Occasional Papers

Publisher

The Egyptian Exchange (EGX)

Issue

6

Pages

70.0

Place of publication

Cairo

Department affiliated with

  • Business and Management Publications

Institution

The Egyptian Exchange

Full text available

  • No

Peer reviewed?

  • No

Legacy Posted Date

2012-04-24

First Compliant Deposit (FCD) Date

2016-03-22

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