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A Review of Asset Pricing With Risk-Return Relations In Sub-Saharan Africa

Author

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  • Yao Hongxing
  • Solomon Duduchoge
  • Chris Benjamin Ampimah

Abstract

This study examines the effect of illiquidity risk on expected excess stock returns in sub-Saharan Africa. Evidence exists to show that an expected stock return is positively correlated with market illiquidity in Sub-Sahara Africa. We also find evidence to show that global risk aversion has direct influence on the stocks markets of these sub-Saharan countries. Furthermore, we find that the US market serve as an important driving force in sub-Sahara Africa market as South Africa which play a bigger role in the region as far as market capitalization is concern has majority of its shares own by investors outside the region. It emerged that most markets in emerging sub-Saharan Africa have smaller capitalization and should therefore hasten their desire for regional market integration. We find cross-listing of some stocks in sub-Sahara Africa on the JSE and thus any downturn in the JSE also has serious consequences on their stock.

Suggested Citation

  • Yao Hongxing & Solomon Duduchoge & Chris Benjamin Ampimah, 2017. "A Review of Asset Pricing With Risk-Return Relations In Sub-Saharan Africa," International Journal of Scientific Research in Computer Science, Engineering and Information Technology, International Journal of Scientific Research in Computer Science, Engineering and Information Technology, vol. 2(2), pages 267-280, April.
    • Handle: RePEc:jbh:ijsrcs:v2:y2017:i2:id:hcseit172262
    Note: Article URL: https://ijsrcseit.com/CSEIT172262
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