The Dynamics of Liquidity-adjusted Capital Asset Pricing Model in SubSahara Africa: Evidence from Ghana

  • Yao Hongxing Jiangsu University, China
  • Solomon Duduchoge bKoforidua Technical University, Koforidua, Ghana
DOI: https://doi.org/10.53555/ams.v3i2.1036
Keywords: Asset pricing;, Emerging market;, Ghana, Liquidity, Liquidity risk;, sub-Saharan Africa

Abstract

This paper estimates the systematic liquidity risk in Ghana using the conditional version of
liquidity–adjusted capital asset pricing model in an emerging Ghana’s market. We find that
co-movements between stock returns and individual liquidity, market liquidity as well as
market returns react differently under different market conditions. Applying the size effect
on liquidity, it is evidence that the size effect is stronger for smaller firms in Ghana than for
larger firms. While the effect of the recent financial crisis do not exhibit a strong influence on
the market, it effect is stronger in the down market than the up market. Finally, we explore
the reasons behind the poor performance of stock in Ghana and concluded that lack of
transparency and protection for firms are some of the problems.

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Author Biographies

Yao Hongxing, Jiangsu University, China

aSchool of Management Science and Engineering, Jiangsu University, China

Solomon Duduchoge, bKoforidua Technical University, Koforidua, Ghana

bKoforidua Technical University,
Koforidua, Ghana

Published
2017-02-28
How to Cite
Hongxing, Y., & Duduchoge, S. (2017). The Dynamics of Liquidity-adjusted Capital Asset Pricing Model in SubSahara Africa: Evidence from Ghana. IJRDO - Journal of Applied Management Science, 3(2), 34-51. https://doi.org/10.53555/ams.v3i2.1036
Issue
Vol. 3 No. 2 (2017): IJRDO - Journal of Applied Management Science
Section
Articles

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