Thesis (MBA)--Stellenbosch University, 2003 / ENGLISH ABSTRACT: According to the World Bank's leading economists Beck and Demlrquc-Kunt one of
the major competitive advantages of countries competing for long-term economic
growth is the existence of an efficient and liquid domestic stock market. A number
of studies have already been performed to examine solitary aspects of stock
liquidity, however, rather little work has been done to comprehensively investigate
its fundamental set of determinants. Furthermore, none of these studies has ever
attempted to specifically focus on African stock markets. Consequently, this study
aims to determine the fundamental set of drivers of stock market liquidity in general
terms and to investigate the specific conditions of African equity exchanges as part
of the group of emerging stock markets.
Data for three different samples is collected - comprising a maximum of 46
countries and 17 annual data points - and regression analysis is employed to
analyse the relationship between stock market turnover as a proxy for liquidity and
a set a potential predictors. Several pure cross-sectional as well as dynamic panel
regression models are designed and the results reveal that the four predictors,
comprising: number of listed companies, country credit rating, severe restrictions on
foreign investors and geographical location on the African continent constitute the
fundamental set of drivers of stock market liquidity. In the specific case of African
stock markets, domestic banking sector development tends to be the strongest
determinant of stock liquidity.
This study provides a great deal of value to governments and exchange managers
alike; however, it should be regarded as a starting point for subsequent papers
analysing the fundamental determinants of stock liquidity. For future research
efforts it is recommended to expand the set of potential predictors and specifically
focus on the contemporaneous component of the relation between stock market
liquidity and its determinants. / AFRIKAANSE OPSOMMING: Volgens die Wêreldbank se voorste ekonome, Beck en Dernirquc-Kunt, is een van
die grootste mededingende voordele van lande wat meeding om langtermyn
ekonomiese groei, die bestaan van 'n doeltreffende en likiede binnelandse
aandelebeurs. 'n Aantal studies is reeds gedoen om die afsonderlike aspekte van
effekte-likiditeit te ondersoek, maar redelik min werk is egter gedoen om die
fundamentele bepalende faktore omvattend na te vors. Verder het geeneen van
hierdie studies ooit probeer om spesifiek op Afrika-aandelebeurse te fokus nie.
Gevolglik poog hierdie studie om die fundamentele stel drywers van aandelebeurslikiditeit
in die algemeen te bepaal en om die spesifieke omstandighede van Afrika-aandelebeurse
as deel van die groep ontwikkelende aandelebeurse te ondersoek.
Data is versamel vir drie verskillende steekgroepe - bestaande uit 'n maksimum
van 46 lande en 17 jaarlikse datapunte - en 'n regressie-analise is gebruik om die
verhouding tussen aandelebeurs-omset as 'n aanduiding van likiditeit en 'n stel
potensiële aanwysers te bepaal. Verskeie gewone kruisgewyse sowel as dinamiese
paneelregressiemodelle is ontwerp en die resultate toon dat vier aanwysers,
naamlik die aantal genoteerde maatskappye, die land se kredietgradering, ernstige
beperkings op buitelandse beleggers en geografiese ligging op die Afrika-vasteland,
die fundamentele stel drywers van aandelebeurs-likiditeit is. In die spesifieke geval
van Afrika-aandelebeurse wil dit voorkom asof die ontwikkeling van 'n binnelandse
banksektor die sterkste bepaler van effekte-likiditeit is.
Hierdie studie is van waarde vir beide regerings en valutabestuurders. Dit moet
egter as 'n beginpunt beskou word vir verdere studies wat die fundamentele
bepalers van effekte-likiditeit analiseer. Vir verdere navorsingspogings word
voorgestel dat die versameling moontlike aanwysers uitgebrei word en dat daar
spesifiek gefokus word op die gelyktydige komponent van die verhouding tussen
aandelebeurs-likiditeit en en sy bepalers.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/53638 |
| Date | 12 1900 |
| Creators | Bieger, Jasper, Floquet, Keegan |
| Contributors | Fish, T., Biekpe, N., Stellenbosch University. Faculty of Economic & Management Sciences. Graduate School of Business. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | Unknown |
| Type | Thesis |
| Format | 182 p. : ill. |
| Rights | Stellenbosch University |
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