Liquidity estimation in African emerging markets
Liquidity estimation in African emerging markets
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 intramarket liquidity effects than price-impact measures such as Amihud (2002).
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
2 January 2010
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Hearn, Bruce
(2010)
Liquidity estimation in African emerging markets
(The Egyptian Exchange Occasional Papers, 6)
The Egyptian Exchange
70pp.
Record type:
Monograph
(Project Report)
Abstract
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 intramarket liquidity effects than price-impact measures such as Amihud (2002).
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Published date: 2 January 2010
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Local EPrints ID: 423274
URI: http://eprints.soton.ac.uk/id/eprint/423274
PURE UUID: 8d9dbcb0-90e7-4e7c-9323-93df3d41238b
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Date deposited: 20 Sep 2018 16:30
Last modified: 16 Mar 2024 04:37
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