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• W1996996475 abstract "This article assesses the effectiveness of traded turnover and Amihud (2002 Amihud, Y. 2002. Illiquidity and stock returns: cross section and time series effects. Journal of Financial Markets, 5: 31–56. [Crossref], [Web of Science ®] , [Google Scholar]) metrics in measuring illiquidity, as used in a multifactor Capital Asset Pricing Model (CAPM). The performance of this model is contrasted with Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and simple stochastic drift models on a new sample of five West African equity markets: Cote d’Ivoire, Ghana, Nigeria, Morocco and Tunisia, together with the developed markets in London and Paris. Analysis of portfolio characteristics reveals that investment strategies based on Francophone markets outperform those of Anglophone markets in Africa, despite their lower mean returns. There is some evidence of limited benefits to investors from including assets from the small and highly illiquid Cote d’Ivoire and Ghanaian markets." @default.
• W1996996475 created "2016-06-24" @default.
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• W1996996475 date "2010-07-01" @default.
• W1996996475 modified "2023-09-30" @default.
• W1996996475 title "Modelling size and illiquidity in West African equity markets" @default.
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• W1996996475 doi "https://doi.org/10.1080/09603101003724364" @default.
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