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Author : Kofi A. Osei
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.F/5 ( download)
Download or read book Asset Pricing and Information Efficiency of the Ghana Stock Market written by Kofi A. Osei and published by . This book was released on 2002 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Desmond Tutu Ayentimi
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (13 download)
Download or read book Stock Market Efficiency of Ghana Stock Exchange written by Desmond Tutu Ayentimi and published by . This book was released on 2013 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: There has been profuse development in the stock markets all over the world in the past decades. The 21st century has seen intriguing changes in the stock markets in both developed and emerging economies. This paper examines the weak-form efficiency of listed firms on the Ghana Stock Exchange (GSE) by applying the Random Walk Hypothesis using weekly closing stock prices on the GSE from January, 2007 to June, 2012. The GSE financial market returns series exhibit volatility clustering that shows an indication of inefficiency on the GSE. The results of both the descriptive statistics of the weekly market returns and the normality tests show that returns from GSE did not follow the normal distribution. The study recommends that transaction cost should be reduced to improve the market activities of the GSE. Also, efforts should be intensified to get as many firms as possible to be listed on the stock market to enhance competition among stocks.
Author : Dickson Osei
Publisher : Grin Publishing
ISBN 13 : 9783668410237
Total Pages : 84 pages
Book Rating : 4.4/5 (12 download)
Download or read book Active and Passive Fund Management. A Look at Fund Management Performance Against the Ghana Stock Exchange (GSE) Composite Index written by Dickson Osei and published by Grin Publishing. This book was released on 2017-03-30 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: Thesis (M.A.) from the year 2015 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: A, University of Cumbria (Robert Kennedy College), language: English, abstract: The popularity of funds that replicate a market performance continue to surge and several literatures have documented the superiority of index funds outperforming their active fund management counterparts. Most of these studies have been based on data from developed, emerging and frontier economies including the USA, Britain, France, Japan, India and many other countries. This study joins the debate by analysing Ghana specific data to measure the performance of Ghanaian fund managers from 2006 to 2013. This is the first of such analysis in the Ghanaian context. Using aggregate average returns, Sharpe ratio and Jensen's Alpha based on the Capital Asset Pricing Module (CAPM) as the key performance indices, the study finds that fund managers in Ghana by aggregation do not provide superior returns using the GSE composite index as the market return benchmark and that fund managers on average have underperformed the market during the period of study. The aggregate of their performance further worsen on a risk adjusted returns after factoring in fund managers cost. This notwithstanding, some fund managers on a risk adjusted average return basis outperformed the market return albeit funds with an asset allocation portfolio of not less than 60% equity. Although the Ghanaian economy exhibit signs of a frontier market, the research observed fund managers in Ghana do not exhibit market timing skills and stock selection abilities that would have made them outperform the market. Evidence of superior performance persistence is also not noticeable but consistency in underperformance is observed. The outcome of this work indicate superior outperformance by replicating the GSE composite index as compared to active fund management and adds to the existing works that suggest the
Author : Ghana Stock Exchange
Publisher :
ISBN 13 :
Total Pages : 128 pages
Book Rating : 4.F/5 ( download)
Download or read book Ghana Stock Exchange Handbook written by Ghana Stock Exchange and published by . This book was released on 1994 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frank Senyo Dewotor
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Information Content of Stock Prices in Ghana written by Frank Senyo Dewotor and published by . This book was released on 2004 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the weak form stock market efficiency in Ghana. We sought to establish whether investors in Ghana can form profitable trading strategies based on the information content of historical stock prices. We employed serial and cross-sectional correlation tests to ascertain the relationship between daily, monthly, quarterly and yearly stock returns. We find that stock returns are not normally distributed in Ghana and non-parametric and parametric tests applied to triangulate results did not generate any significant differences in the inferences drawn. We also find that for an overwhelming majority of listed stocks, daily stock returns are positively serially and cross sectionally correlated in a significant way irrespective of the method applied. Parametric test results for monthly returns indicate the dominance of insignificant positive serial correlation but the non-parametric test produced significant positive serial correlation. Cross sectional parametric and non-parametric tests show significant positive correlation in monthly returns. The differences between daily and monthly return correlation were insignificant. Quarterly returns were insignificantly positively serially correlated but the cross-sectional results provided evidence of significant positive correlation. Yearly returns were negatively correlated suggesting a price reversal phenomenon exists in Ghana but insignificant on the whole. Our test results suggest that the Ghana stock market is to a large extent weak-form inefficient.
Author : Sam Mensah
Publisher : Sem Financial Training Centre
ISBN 13 :
Total Pages : 264 pages
Book Rating : 4.3/5 (91 download)
Download or read book Securities Markets and Investments written by Sam Mensah and published by Sem Financial Training Centre. This book was released on 2001 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial liberalisation in Ghana has unleashed an array of investment instruments, a stock exchange, unit trusts and corperate bonds. As markets grow, Ghana will develop more sophisticated products such as asset-backed securities and derivative instruments. Sam Mensah writes for finance students, individual investors, and other professionals keeping pace with the developments of the financial and investment infrastructure in Ghana. Contents: the investment process and financial markets; time value of money and the mathematics of finance; the organisation of securities markets; legal and regulatory frameworks; shares; forced income securities and bond portfolio management; economic and industry analysis; company analysis and share valuation; investment selection and performance evaluation; investment funds.
Author : Joseph Wilson
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783848426850
Total Pages : 80 pages
Book Rating : 4.4/5 (268 download)
Download or read book Efficiency of the Ghana Stock Exchange written by Joseph Wilson and published by LAP Lambert Academic Publishing. This book was released on 2012-03 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses efficiency of the Ghana Stock Exchange (GSE) to know whether the market has evolved towards some degree of efficiency (i.e. weak form efficiency). It uses daily frequency of the GSE All Share Index for the period of 1992-2004 and applies the Kalman Filter technique to a time-varying parameter model and general autoregressive conditional heteroskedasticity in mean (GARCH-M) of the residual structure. The results show that stock returns in the market exhibit both clustering and persistence in volatility. Also there is positive risk-premium in the market, however, this is not significant. This implies that the market does not price the conditional variance. The market is not weak form efficient for most of the period considered with the exception of the latter parts of 1997 and the early periods of 1999.
Author : Evans Tee
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (13 download)
Download or read book Liquidity Reactions Towards Dividend Announcements and Information Efficiency on the Ghana Stock Exchange written by Evans Tee and published by . This book was released on 2018 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study attempts to examine liquidity (stock returns) reaction to subsequent dividend announcements and information efficiency in the Ghanaian Market with a sample of 11 major companies from those listed on the Ghana Stock Exchange (GSE). While employing event studies to measure the event impact, one may find the techniques to outperform the market. This study employs event study methodology. More specifically, it employs the market model in generating abnormal returns surrounding subsequent dividend announcements. The liquidity levels of the studied stocks are very low. Findings show that there is a little informational content of dividend announcements on the Ghana Stock Exchange. The Ghanaian investors hardly consider dividend announcements as favorable news. The stock returns cannot however be conclusively be said to react positively to subsequent dividend announcements in GSE.
Author : Eno L. Inanga
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.F/5 ( download)
Download or read book Institutional, Traditional, and Asset Pricing Characteristics of the Nigerian Stock Exchange written by Eno L. Inanga and published by . This book was released on 1997 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sanjay Sehgal
Publisher :
ISBN 13 : 9788177080797
Total Pages : 0 pages
Book Rating : 4.0/5 (87 download)
Download or read book Asset Pricing in Indian Stock Market written by Sanjay Sehgal and published by . This book was released on 2005-02-10 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book empirically shows that the multi-factor asset pricing models, like the Fama-French model, provide a better description of average stock returns compared to the more widely accepted capital asset pricing model (CAPM). It is suggested that the market practitioners should re-design their investment management tool box by replacing CAPM with the Fama-French model for industry applications such as cost of capital estimation, corporate valuation, estimating fair rates of return, assessing stock market efficiency and portfolio performance evaluation. It is also revealed that size-based, value-based, reversal-based and momentum-based trading strategies do not provide extra-normal returns in India. The book will be a useful reference for mutual fund managers, portfolio managers, financial consultants and investors at large. Academicians and students in the area of investment management and corporate finance can also benefit from it."
Author : Godfred Aawaar
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Market Integration and Informational Efficiency of Africa's Stock Markets written by Godfred Aawaar and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Market integration and informational efficiency of stock markets are key policy variables, yet have long been studied as separate concepts. In this article, we address the forthright question of whether a more integrated stock market is also a more informationally efficient market using a panel of 11 of Africa's leading stock markets for the period 2002-2014. We proxy market integration using the adjusted pricing error from an equilibrium international asset pricing model. The aggregate market-level price delay, which captures the relative speed of adjustment by each aggregate stock market to global common news, is used as an inverse measure of informational efficiency. We find compelling evidence that corroborates the hypothesis that markets that are more integrated with the world market tend to be more efficient as well. We suggest that policy efforts towards market integration and informational efficiency must be complementary as the two policy goals are closely related.
Author : Kofi A. Osei
Publisher :
ISBN 13 :
Total Pages : 94 pages
Book Rating : 4.F/5 ( download)
Download or read book Analysis of Factors Affecting the Development of an Emerging Capital Market written by Kofi A. Osei and published by . This book was released on 1998 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jing Jiang
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (639 download)
Download or read book CROSS-SECTIONS OF THE INFORMATIONAL EFFICIENCY OF ASSET PRICE written by Jing Jiang and published by . This book was released on 2009 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: The informational efficiency of asset price varies across individual stock according to stock attributes. We find the informational efficiency is higher for stocks with better liquidity provision, frequent trading, higher prices, larger market capitalizations, and smaller trade sizes than in other ones. These findings suggest that liquidity stimulates arbitrage activity, which, in turn, enhances informational efficiency. Informational efficiency also varies with information environment. We find that stocks with greater information-based trading exhibit higher level of efficiency. The empirical results indicate less concentrated institutional holdings and sound corporate governance structure enhance market efficiency. Lastly, market structure influences informational efficiency. NYSE stocks achieve higher level of efficiency than NASDAQ stocks do. Informational efficiency improves after decimalization in both markets. Our results are robust and not driven by differences in stock attributes between the two markets or time periods. Overall, our results indicate that liquidity provision, stock attributes, market structure, and informational environment exert a significant impact on the realization of informational efficiency.
Author : Frank Senyo Dewotor
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (13 download)
Download or read book Size-Effect in Frontier African Stock Markets written by Frank Senyo Dewotor and published by . This book was released on 2016 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: An attempt was made in this paper to ascertain whether firm size plays a significant role in the performance of equity portfolios in Frontier African markets as observed elsewhere and whether the relationship can be adequately explained by the capital assets pricing model and the efficient markets hypothesis. Over the study period of 2001 to 2010, we found that low market value equity portfolios in frontier Africa earned higher absolute and risk-adjusted returns almost monotonically relative to higher market value equity portfolios. This is also true even where systematic risk is adjusted for non-synchronous trading which others have argued may create biases in the estimates of systematic risk in markets or in securities where liquidity is poor. The results seem to indicate that the efficient market hypothesis is invalid in this event in frontier Africa or that the capital asset pricing model (CAPM) employed in the test is improperly specified.
Author : Abdourahmane Sarr
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.:/5 (318 download)
Download or read book Measuring Liquidity in Financial Markets written by Abdourahmane Sarr and published by International Monetary Fund. This book was released on 2002-12 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediacy, depth, breadth, and resiliency. These measures are applied in selected foreign exchange, money, and capital markets to illustrate their operational usefulness. A number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market's degree of liquidity and because market-specific factors and peculiarities must be considered.
Author : Augusto de la Torre
Publisher : World Bank Publications
ISBN 13 : 0821365444
Total Pages : 232 pages
Book Rating : 4.8/5 (213 download)
Download or read book Emerging Capital Markets and Globalization written by Augusto de la Torre and published by World Bank Publications. This book was released on 2006-10-20 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Back in the early 1990s, economists and policy makers had high expectations about the prospects for domestic capital market development in emerging economies, particularly in Latin America. Unfortunately, they are now faced with disheartening results. Stock and bond markets remain illiquid and segmented. Debt is concentrated at the short end of the maturity spectrum and denominated in foreign currency, exposing countries to maturity and currency risk. Capital markets in Latin America look particularly underdeveloped when considering the many efforts undertaken to improve the macroeconomic environment and to reform the institutions believed to foster capital market development. The disappointing performance has made conventional policy recommendations questionable, at best. 'Emerging Capital Markets and Globalization' analyzes where we stand and where we are heading on capital market development. First, it takes stock of the state and evolution of Latin American capital markets and related reforms over time and relative to other countries. Second, it analyzes the factors related to the development of capital markets, with particular interest on measuring the impact of reforms. And third, in light of this analysis, it discusses the prospects for capital market development in Latin America and emerging economies and the implications for the reform agenda.
Author : Mr.Peter Dattels
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 106 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Microstructure of Government Securities Markets written by Mr.Peter Dattels and published by International Monetary Fund. This book was released on 1995-11 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper applies the “market microstructure” literature to the specific features of government securities markets and draws implications for the strategy to develop government securities markets. It argues for an active role of the authorities in fostering the development of efficient market structures.
