Size Effect In Frontier African Stock Markets
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| Author | : Frank Senyo Dewotor |
| Publisher | : |
| Total Pages | : 20 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
An attempt was made in this paper to ascertain whether firm size plays a significant role in the performance of equity portfolios in Frontier African markets as observed elsewhere and whether the relationship can be adequately explained by the capital assets pricing model and the efficient markets hypothesis. Over the study period of 2001 to 2010, we found that low market value equity portfolios in frontier Africa earned higher absolute and risk-adjusted returns almost monotonically relative to higher market value equity portfolios. This is also true even where systematic risk is adjusted for non-synchronous trading which others have argued may create biases in the estimates of systematic risk in markets or in securities where liquidity is poor. The results seem to indicate that the efficient market hypothesis is invalid in this event in frontier Africa or that the capital asset pricing model (CAPM) employed in the test is improperly specified.
| Author | : Kamanda Morara |
| Publisher | : LAP Lambert Academic Publishing |
| Total Pages | : 76 |
| Release | : 2012 |
| Genre | : |
| ISBN | : 9783659313219 |
It has been widely noted that as the world becomes more connected the movements of the Developed and the main Emerging Stock Markets of the world are getting closer over time. This co-movement of the world's developed and emerging markets reduces the benefit that could be obtained from diversification across more than one national market. The key question for international investors who are seeking higher returns and less volatility in their portfolios is whether diversifying into the smaller, less liquid Frontier Emerging Markets, simply known as Frontier Markets, would provide the needed variation in equity price movements. This book seeks to answer this question by investigating the degree of correlation in the movements of the equity prices of Frontier African Stock Markets with those of the Developed Stock Markets of the world.
| Author | : Panagiotis Andrikopoulos |
| Publisher | : Academic Press |
| Total Pages | : 428 |
| Release | : 2016-08-05 |
| Genre | : Business & Economics |
| ISBN | : 0128094915 |
Handbook of Frontier Markets: Evidence from Asia and International Comparative Studies provides novel insights from academic perspectives about the behavior of investors and prices in several frontier markets. It explores finance issues usually reserved for developed and emerging markets in order to gauge whether these issues are relevant and how they manifest themselves in frontier markets. Frontier markets have now become a popular investment class among institutional investors internationally, with major financial services providers establishing index-benchmarks for this market-category. The anticipation for frontier markets is optimistic uncertainty, and many people believe that, given their growth rates, these markets will be economic success stories. Irrespective of their degrees of success, The Handbook of Frontier Markets can help ensure that the increasing international investment diverted to them will aid in their greater integration within the global financial system. Presents topics in the contexts of frontier markets and uses tests based on established methodologies from finance research Features contributing authors who are established university academics Emphasizes financial institutions and applications of financial risk models Explores finance issues usually reserved for developed and emerging markets in order to gauge whether these issues are relevant and how they manifest themselves in frontier markets
| Author | : Todd J. Moss |
| Publisher | : |
| Total Pages | : 25 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
The globalization of financial markets has led to an impressive rise of private commercial investment in emerging markets since 1990. This rise has been driven partly by the growth of equity investment funds - collective investment schemes where individual investors contribute to multiple investments within a single fund - dedicated to investing in companies listed on developing markets' stock exchanges. Sub-Saharan Africa has participated in this trend, with South Africa rising into the ranks of the leading destination emerging markets and a number of regional funds specifically targeting the continent. At the behest of local governments, and with some donor encouragement, Africa has also expanded the number of its domestic stock exchanges from five in the late 1980s to 15 today. Despite this modest headway, Africa's frontier markets - those outside South Africa - still receive only a tiny fraction of emerging markets investment and the widespread reaction in Africa has been of disappointment. Policymakers in both African and donor capitals have fretted about this lack of response by private investors and frequently ask: why is Africa not receiving more equity investment? In this working paper, senior fellow Todd Moss, visiting fellow Vijaya Ramachandran and Scott Standley address this question and find that African markets are not treated differently than other markets and present evidence that small market size and low levels of liquidity are a binding deterrent for foreign institutional investors. Thus, orthodox market variables rather than market failure appear to explain Africa's low absolute levels of inward equity flows. The paper then turns to new data from firm surveys to explore why African firms remain small. The implications of their findings are threefold: (a) efforts to encourage greater private investment in these markets should concentrate on domestic audiences and specialized regional funds, (b) the depth and success of the Johannesburg Stock Exchange can perhaps be better utilized to benefit other parts of the continent, and (c) any long-term strategy should concentrate on the underlying barriers to firm entry and growth.
| Author | : Sebastian Groh |
| Publisher | : GRIN Verlag |
| Total Pages | : 69 |
| Release | : 2009-10-03 |
| Genre | : Business & Economics |
| ISBN | : 3640438531 |
Bachelor Thesis from the year 2009 in the subject Economics - Case Scenarios, grade: 1,3, University of Mannheim (Lehrstuhl für Volkswirtschaftslehre, insbes. Ökonometrie), course: Bachelorarbeit, language: English, abstract: In recent years foreign aid was often conditioned on good institutions. Due to this course the development of financial institutions has been considered vital for the development process. This thesis points in its theoretical part to the positive effects of efficient stock markets on economic growth and examines empirically the efficiency of Africa's sub-Saharan stock markets. Results are then compared with the same tests on four emerging markets in Asia and as a benchmark on S&P 500 and DAX. It discusses further the relationship between market efficiency and financial crisis and comes to the conclusion that a crisis worsens the respective efficiency level. Nevertheless, all African markets are at least able to pass the critical lowest hurdle of market efficiency. However, conclusions from the research propose, that the Asian markets perform better than the African markets, although the study comes to some inconclusive results. Limits to the efficient market hypothesis itself and its empirical analysis are shown throughout the paper. The study suggests that former reforms need to be intensified in order to avoid a further increase in overall income inequalities.
| Author | : Panagiotis Andrikopoulos |
| Publisher | : Academic Press |
| Total Pages | : 306 |
| Release | : 2016-08-05 |
| Genre | : Business & Economics |
| ISBN | : 0128038403 |
Handbook of Frontier Markets: The European and African Evidence provides novel insights from academic perspectives about the behavior of investors and prices in several frontier markets. It explores finance issues usually reserved for developed and emerging markets in order to gauge whether these issues are relevant and how they manifest themselves in frontier markets. Frontier markets have now become a popular investment class among institutional investors internationally, with major financial services providers establishing index-benchmarks for this market-category. The anticipation for frontier markets is optimistic uncertainty, and many people believe that, given their growth rates, these markets will be economic success stories. Irrespective of their degrees of success, The Handbook of Frontier Markets can help ensure that the increasing international investment diverted to them will aid in their greater integration within the global financial system. Presents topics in the context of frontier markets and uses tests based on established methodologies from finance research Draws from authors who are established university academics Pays particular attention to financial institutions and applications of financial risk models Explores finance issues usually reserved for developed and emerging markets in order to gauge whether these issues are relevant and how they manifest themselves in frontier markets
| Author | : Douglas W. Blackburn |
| Publisher | : |
| Total Pages | : 39 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
We study the returns of stocks from twenty-one frontier markets divided into the four regions of Europe, Africa, Middle East and Asia from January 2006 to June 2016. Factor mimicking portfolios based on market capitalization (SMB), book-to-market equity (HML), and momentum (WML) are constructed and reveal large and significant returns associated with value and momentum in frontier markets. Different from the developed markets, value and momentum effects are observed in both large and small market cap stocks. Empirical asset pricing models are not able to explain the observed value and momentum return patterns. Local asset pricing models, which use factors constructed from frontier market returns, and global asset pricing models, which use factors derived from developed market returns, are rejected in nearly all cases; however, the local four-factor model strongly outperforms the local single-factor capital asset pricing model (CAPM) for all regions, and the local four-factor model is found to be vastly superior to all global models. Surprisingly, there is no difference in performance between the global one-factor CAPM and the global four-factor model in explaining frontier stock market returns. This evidence strongly suggests that frontier and developed markets are segmented.
| Author | : Adam Zaremba |
| Publisher | : Springer |
| Total Pages | : 325 |
| Release | : 2018-07-25 |
| Genre | : Business & Economics |
| ISBN | : 3319915304 |
This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
| Author | : Joshua Yindenaba Abor |
| Publisher | : Routledge |
| Total Pages | : 461 |
| Release | : 2020-12-29 |
| Genre | : Business & Economics |
| ISBN | : 0429835256 |
Contemporary Issues in Development Finance provides comprehensive and up-to-date coverage of theoretical and policy issues in development finance from both the domestic and the external finance perspectives and emphasizes addressing the gaps in financial markets. The chapters cover topical issues such as microfinance, private sector financing, aid, FDI, remittances, sovereign wealth, trade finance, and the sectoral financing of agricultural and infrastructural projects. Readers will acquire both breadth and depth of knowledge in critical and contemporary issues in development finance from a philosophical and yet pragmatic development impact approach. The text ensures this by carefully integrating the relevant theoretical underpinnings, empirical assessments, and practical policy issues into its analysis. The work is designed to be fully accessible to practitioners with only a limited theoretical economic background, allowing them to deeply engage with the book as useful reference material. Readers may find more advanced information and technical details provided in clear, concise boxes throughout the text. Finally, each chapter is fully supported by a set of review questions and by cases and examples from developing countries, particularly those in Africa. This book is a valuable resource for both development finance researchers and students taking courses in development finance, development economics, international finance, financial development policy, and economic policy management. Practitioners will find the development impact, policy, and conceptual analysis dimensions insightful analysing and designing intervention strategies.
| Author | : Cheikh A. Gueye |
| Publisher | : International Monetary Fund |
| Total Pages | : 39 |
| Release | : 2014-03-26 |
| Genre | : Business & Economics |
| ISBN | : 1616358440 |
During the past three years the frontier markets of sub-Saharan Africa have received growing amounts of portfolio capital flows, with heightened interest from foreign investors. Compared with foreign direct investment, portfolio capital flows tend to be more volatile, and thus pose challenges for sub-Saharan African frontier markets. This study examines the evolution of capital flows since 2010 and discusses the policies these countries have designed to reduce risks from the inherent volatility of these flows.
