Modelling size and liquidity in North African industrial sectors
Modelling size and liquidity in North African industrial sectors
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 North African emerging markets of Algeria, Egypt, Morocco and Tunisia. The evidence suggests that size and liquidity effects are least significant in Morocco which is reflected in its low cost of equity while that in Egypt and Tunisia is significantly higher. Time-varying profiles of liquidity betas provide evidence that Morocco and Egypt have been affected by the 2007/2008 global financial crisis while the Tunisian market is relatively unaffected.
CAPM, Emerging financial markets, Kalman filter, Liquidity, North Africa
21-46
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
March 2011
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Abstract
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 North African emerging markets of Algeria, Egypt, Morocco and Tunisia. The evidence suggests that size and liquidity effects are least significant in Morocco which is reflected in its low cost of equity while that in Egypt and Tunisia is significantly higher. Time-varying profiles of liquidity betas provide evidence that Morocco and Egypt have been affected by the 2007/2008 global financial crisis while the Tunisian market is relatively unaffected.
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Accepted/In Press date: 31 August 2010
e-pub ahead of print date: 25 September 2010
Published date: March 2011
Keywords:
CAPM, Emerging financial markets, Kalman filter, Liquidity, North Africa
Identifiers
Local EPrints ID: 423427
URI: http://eprints.soton.ac.uk/id/eprint/423427
ISSN: 1566-0141
PURE UUID: 1c6f15c4-8496-4b00-989c-24b967f40a5f
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Date deposited: 21 Sep 2018 16:30
Last modified: 16 Mar 2024 04:37
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