The thesis comprises three associated empirical studies that aim at facilitating better understanding of the salient trading features that typify the sampled stock markets of Africa. The first study explored the recent trends in trading activities observed in ten African stock markets of Botswana, BRVM, Egypt, Ghana, Kenya, Mauritius, Morocco, Nigeria, South Africa and Tunisia. The exercise identified the prominent trait of sluggish price movements and low levels of stock liquidity. Further analysis on the potential causes of the identified delays in price movements distinguish high stock illiquidity levels, lack of trades and low impact of traded volumes on stock prices as the main contributors of price rigidity in these African stock markets. The second study investigated the salient trait of high levels of stock illiquidity captured using seven liquidity proxies, including a newly proposed illiquidity proxy. Further test on the performance of the different liquidity proxies on the two benchmark of price impact and held capital facilitated identification of the most appropriate liquidity proxy that effectively capture stock illiquidity levels in each of the ten African stock markets. Implications of liquidity risk on cost of capital confirmed that these markets substantially suffer from stock illiquidity issues. The last study analyzed the influence of framing prior returns under different periods on the observed stock trading activities and stock illiquidity levels in the ten African stock markets. The results showed that the use of shorter framing periods of prior returns induced increased sensitivity to the nature of evaluated returns besides causing hyped stock trading, which subsequently lowered the observed levels of stock illiquidity in these markets. On the other hand, the use of longer frames of prior returns induced increased trading of profit-making stocks with prolonged holding onto loss-making stocks; a trading behaviour propelled by disposition effect biasness among traders.
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:668975 |
| Date | January 2015 |
| Creators | Musyoki, Christopher Mbindyo |
| Publisher | University of Aberdeen |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Source | http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=227595 |
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