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Size and liquidity effects in Sub Saharan African stock markets

Size and liquidity effects in Sub Saharan African stock markets
Size and liquidity effects in Sub Saharan African stock markets
This study contrasts the effectiveness of a Capital Asset Pricing Model (CAPM) augmented with size and recently developed Liu (2006) liquidity factors against the Fama and French (1993) size and book to market value factors. The application of time varying parameter techniques enables a greater understanding of the dynamics of liquidity within a unique sample of Sub Saharan African stocks. The evidence suggests that with the exceptions of Ghanaian and Kenyan markets the Fama and French factors retain their explanatory power in explaining the cross section of stock returns. Time varying liquidity beta profiles indicate that the financial sectors of Namibia, Zambia and Mauritius have been affected by the 2008 global financial crisis, while Botswana and Kenya are unscathed.
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2

Hearn, Bruce (2010) Size and liquidity effects in Sub Saharan African stock markets. In 8th INFINITI Conference on International Finance Annual Meeting, Dublin, Ireland. 44 pp .

Record type: Conference or Workshop Item (Paper)

Abstract

This study contrasts the effectiveness of a Capital Asset Pricing Model (CAPM) augmented with size and recently developed Liu (2006) liquidity factors against the Fama and French (1993) size and book to market value factors. The application of time varying parameter techniques enables a greater understanding of the dynamics of liquidity within a unique sample of Sub Saharan African stocks. The evidence suggests that with the exceptions of Ghanaian and Kenyan markets the Fama and French factors retain their explanatory power in explaining the cross section of stock returns. Time varying liquidity beta profiles indicate that the financial sectors of Namibia, Zambia and Mauritius have been affected by the 2008 global financial crisis, while Botswana and Kenya are unscathed.

Text
SSA Liq-CAPM EFJ BH - Accepted Manuscript
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More information

Published date: 2 June 2010
Venue - Dates: 8th INFINITI Conference on International Finance, Trinity College Dublin, Dublin, Ireland, 2010-06-01 - 2010-06-04

Identifiers

Local EPrints ID: 423404
URI: http://eprints.soton.ac.uk/id/eprint/423404
PURE UUID: 3425b1e4-8d27-4c70-b519-788317bd13b9
ORCID for Bruce Hearn: ORCID iD orcid.org/0000-0001-9767-0198

Catalogue record

Date deposited: 21 Sep 2018 16:30
Last modified: 12 Dec 2021 04:23

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