The determinants of bank performance in China

Author(s):

Shelagh Heffernan

China's banking system has undergone gradual reform since 1978, with a view to improving efficiency and resource allocation. Recent reforms have focused on allowing banks to list some shares on domestic and foreign exchanges, greater foreign equity participation in Chinese banks, and the establishment of new rural financial institutions.

Updated: 22/09/2011
Comments:
Views: 4,442

Financial innovation in the UK

Author(s):

Shelagh Heffernan

Topic:
Finance
Industry:
Banking

This study employs a recent national survey of over 1100 British financial firms to ascertain the determinants of financial innovation and their sales success using Logit and generalised Tobit models.

Updated: 22/09/2011
Comments:
Views: 3,056

Pricing and valuation in African equity markets

Author(s):

Bruce Hearn

Topic:
Finance
Industry:
Banking

This paper assesses the effectiveness of traded turnover, Amihud (2002) and Liu (2006) metrics in measuring illiquidity, as used in a multifactor CAPM. The performance of this model is contrasted with a simple stochastic drift model on a new sample of all of Africa's major equity markets: Morocco, Tunisia, Egypt, Kenya, Nigeria, Zambia, Botswana and South Africa, together with London and Paris. Costs of equity are found to be highest in Nigeria and Zambia and lowest in Tunisia, Morocco, Namibia and South Africa's blue chip stocks. Analysis of portfolio characteristics reveals that investment strategies based on either pan-African or Francophone markets outperform those of Anglophone markets in Africa, despite their lower mean returns.

Updated: 22/09/2011
Comments:
Views: 2,984

Legal regime, size, and liquidity factors in asset pricing

Author(s):

Bruce Hearn

Topic:
Finance
Industry:
Banking

This study contrasts the ability of three liquidity constructs, the price-impact measure of Amihud (2002), the volume based turnover ratio, and the recently developed trading speed measure of Liu (2006) in explaining total trading costs for four large African emerging markets, Egypt, Morocco, Kenya and South Africa, as well as London and Paris. A new legal regime factor is also developed to capture the often substantial differences in returns between markets with either civil or common law origin. The evidence suggests that the Amihud construct outperforms other liquidity measures in Africa while the Amihud and Liu measures are better in London and Paris. Furthermore the incorporation of size, liquidity and legal regime valuation factors within a multifactor CAPM pricing model reveals that size and liquidity factors are significant in capturing the cross-section of returns across the sample universe. The legal regime factor offers improves performance with larger stocks. However, it is significant in capturing the cross section of returns in country portfolios. Costs of equity are found to be lowest for London, Paris and Morocco and highest for Egypt, Kenya and South Africa.

Updated: 22/09/2011
Comments:
Views: 3,317

A test of the law of one price: an examination of price integration between Europe and regional markets in Africa

Author(s):

Bruce Hearn

 et al.
Topic:
Finance
Industry:
Banking

This study examines the degree of price-integration of equity index assets between the major markets of Africa, namely Morocco, Tunisia, Egypt, Kenya, Nigeria, Namibia and South Africa, with the prominent European markets of London and Paris.

Updated: 22/09/2011
Comments:
Views: 2,990

Liquidity and valuation in east African securities markets

Author(s):

Bruce Hearn

Topic:
Finance
Industry:
Banking

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 East African emerging markets of Uganda, Tanzania and Kenya together with London and South Africa. The evidence suggests that while size and liquidity effects are significant in the smaller emerging markets of Uganda and Kenya they are less important in explaining returns in South Africa and London. Costs of equity are highest in Uganda followed by Kenya, with industrial and consumer non-cyclical sectors being lowest, and then South Africa and London.

Updated: 22/09/2011
Comments:
Views: 3,196

Modelling size and illiquidity in west African equity markets

Author(s):

Bruce Hearn

 et al.
Topic:
Finance
Industry:
Banking

This paper assesses the effectiveness of traded turnover and Amihud (2002) constructs in measuring illiquidity which is used in constructing a multifactor CAPM.

Updated: 22/09/2011
Comments:
Views: 2,950

Integration and the asymmetric transmission of volatility: a study of equity markets in Sub-Saharan Africa

Author(s):

Bruce Hearn

Topic:
Finance

Considerable attention has been given to market integration and volatility transmission between national stock markets, although this has previously been confined to OECD countries or emerging markets in Latin America and Asia-Pacific. Using a new and comprehensive dataset, this paper finds evidence of volatility transmission between ten rival markets in SSA, noting that this volatility is intrinsically asymmetric.

Updated: 22/09/2011
Comments:
Views: 3,628

Liquidity estimation in major African equity markets

Author(s):

Bruce Hearn

Topic:
Finance
Industry:
Banking

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 per cent in Morocco to 53.37 per cent in Tunisia.

Updated: 22/09/2011
Comments:
Views: 3,021