Empirical tests of theories of financial market integration and segmentation have predominantly focussed on developed OECD countries and the emerging markets of Asia Pacific. This paper uses a unique panel of equity market indices from the principal Southern African Customs Union (SACU) markets....

This study examines the degree of price-integration of equity indices between the major markets of Africa, namely Morocco, Tunisia, Egypt, Kenya, Nigeria, Namibia and South Africa with the European markets of London and Paris. Vector Autoregressive and Autoregressive Distributed Lag methods...

This study introduces a new asset pricing factor to capture both the effects of concentrated ownership and institutional development of in 61 international equity markets. The evidence suggests the new measure offers significant improvements over the size and book-to-market value three factor...

Equity markets are increasingly being seen as having a important role within the financial architecture focused towards the financing of Small and Medium Enterprises (SME) firms that dominate regional economies. The high costs involved with lending small amounts to smaller firms in the presence...

This study examines the degree of price-integration of equity index assets between the major markets of Africa, namely Morocco, Tunisia, Egypt, Kenya, Nigeria, Namibia and South Africa with the prominent European markets of London and Paris. The application of Vector Autoregressive and...

Equity markets are increasingly seen as important sources of investment funds in many emerging economies, both in Africa and elsewhere. Furthermore, many countries perceive the development of such markets as a means to facilitate both foreign equity portfolio investment and foreign direct...

This paper augments the Fama and French (1993) three-factor model Capital Asset Pricing Model to take account of company size and liquidity levels. These additional risks faced by investors have not been addressed in any formal way and are critical in attracting finance to facilitate growth. The...

This paper assesses the effectiveness of Liu (2006) metrics in measuring illiquidity within a multifactor CAPM pricing model. Costs of equity are estimated using this model for the major industrial sectors within Africa's larger equity markets: Morocco, Tunisia, Egypt, Kenya, Nigeria, Zambia,...