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Author(s): Bruce Hearn, Cass Business School, City University London, Roger Strange, University of Sussex, Jenifer Piesse, King's College London
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: 09/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 80
Author(s): Bruce Hearn, Cass Business School, Roger Strange, University of Sussex, Jenifer Piesse, Kings College London
This paper estimates the cost of equity in four major African markets: South Africa, Kenya, Egypt and Morocco. These collectively represent the largest and most developed equity markets in Africa and also act as hub markets in their respective regions.
Updated: 10/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 162
Author(s): Bruce Hearn, Cass Business School, Roger Strange, University of Sussex, Jenifer Piesse, Kings College London
This paper estimates the cost of equity in four major African markets: South Africa, Kenya, Egypt and Morocco. These collectively represent the largest and most developed equity markets in Africa and also act as hub markets in their respective regions.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 264
Author(s): Bruce Hearn, Cass Business School, Jenifer Piesse, Kings College London
This paper uses a unique panel of equity market indices from the principal Southern African Customs Union (SACU) markets. The paper tests the hypothesis of market integration using a cointegration approach. Markets that are found to be integrated are then tested for evidence of Granger causality through an error correction mechanism.
Updated: 09/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 42
Author(s): Bruce Hearn, Cass Business School, Jenifer Piesse, Kings College London
Two micro-markets, Mozambique and Swaziland, provide an interesting case study to examine the features of new markets in Sub-Saharan Africa that differ in a number of ways, including colonial legacy, membership of the Common Monetary Area and the dynamics of the political economy that defines the links between the citizens, the local elite and the state.
Updated: 07/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 77
