Modelling Size and Illiquidity in West African Equity Markets

41 Pages Posted: 13 Feb 2009 Last revised: 21 Nov 2009

See all articles by Jenifer Piesse

Jenifer Piesse

University of Stellbosch; King's College London - Department of Management

Bruce Allen Hearn

University of Southampton

Date Written: February 12, 2009


This paper assesses the effectiveness of traded turnover and Amihud (2002) constructs in measuring illiquidity which is used in constructing a multifactor CAPM. The performance of this model is contrasted against GARCH and simple stochastic drift models on a unique sample of five West African equity markets: BRVM, Ghana, Nigeria, Morocco and Tunisia together with London and Paris. Analysis of portfolio characteristics reveal that investment strategies centred on Francophone markets outperform those of Anglophone markets despite their lower mean returns. There is some evidence of limited benefits to investors from inclusion of the very small and highly illiquid BRVM and Ghanaian markets.

Keywords: Liquidity, Emerging Financial Markets, Sub-Saharan Africa, West Africa

JEL Classification: G11, G12, G15, O55

Suggested Citation

Piesse, Jenifer and Hearn, Bruce Allen, Modelling Size and Illiquidity in West African Equity Markets (February 12, 2009). Applied Financial Economics, 2010. Available at SSRN: or

Jenifer Piesse

University of Stellbosch

Stellenbosch, Western Cape
South Africa

King's College London - Department of Management ( email )

Virginia Woolf Building
22 Kingsway
London, England WC2B 6NR
United Kingdom

Bruce Allen Hearn (Contact Author)

University of Southampton ( email )

University Rd.
Southampton SO17 1BJ, Hampshire SO17 1LP
United Kingdom

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