Brvm Stock Market 2015 Year in Review
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Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM Nathaniel Gbenro, Richard Kouamé Moussa
Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM Nathaniel Gbenro, Richard Kouamé Moussa To cite this version: Nathaniel Gbenro, Richard Kouamé Moussa. Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM. Journal of Risk and Financial Management, MDPI, 2019, Financial Time Series: Methods & Models), 12 (1), 10.3390/jrfm12010038. hal-02059799 HAL Id: hal-02059799 https://hal.archives-ouvertes.fr/hal-02059799 Submitted on 6 Mar 2019 HAL is a multi-disciplinary open access L’archive ouverte pluridisciplinaire HAL, est archive for the deposit and dissemination of sci- destinée au dépôt et à la diffusion de documents entific research documents, whether they are pub- scientifiques de niveau recherche, publiés ou non, lished or not. The documents may come from émanant des établissements d’enseignement et de teaching and research institutions in France or recherche français ou étrangers, des laboratoires abroad, or from public or private research centers. publics ou privés. Distributed under a Creative Commons Attribution| 4.0 International License Journal of Risk and Financial Management Article Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM Nathaniel Gbenro 1,2 and Richard Kouamé Moussa 2,* 1 Department of Economics, (Thema) University Cergy-Pontoise, 95011 Cergy-Pontoise, France; [email protected] 2 Ecole Nationale Supérieure de Statistique et d’Economie Appliquée, Abidjan 08, Côte d’Ivoire * Correspondence: [email protected] Received: 31 December 2018; Accepted: 4 March 2019; Published: 6 March 2019 Abstract: This paper analyzes the mean reversion property on the west African stock market (in French, Bourse Régionale des Valeurs Mobilières BRVM). For this purpose, we use two daily indices: (i) the composite index (BRVMC) and (ii) the index of the 10 most liquid assets (BRVM10) collected from 3 January 2005 to 29 June 2018. -
An Evaluation of Factors Contributing to the Stock Market Liquidity Constraints Or Companies Listed on the Namibian Stock Exchange
International Journal of Accounting Research (IJAR) Vol. 2, No. 8, 2015 Publisher: ZARSMI, UAE, and Regent Business School, South Africa AN EVALUATION OF FACTORS CONTRIBUTING TO THE STOCK MARKET LIQUIDITY CONSTRAINTS OR COMPANIES LISTED ON THE NAMIBIAN STOCK EXCHANGE Albert Mutonga Matongela Graduate of the Regent Business School, Durban Republic of South Africa External Supervisor Attached to the Regent Business School, Durban, Republic of South Africa Anis Mahomed Karodia akarodia@regent,ac.za Professor, Senior Academic and Researcher, Regent Business School, Durban, Republic of South Africa Abstract In 1992, the Namibian Stock Exchange (NSX) was established, amongst others, to facilitate investment in capital markets. Stakeholders have raised concerns that liquidity is low on the NSX. The African Economic Outlook has pointed out that the NSX faces the challenge of few locally issued securities and low liquidity. On its part, the Ministry of Finance is of the view that the NSX is characterized by low levels of liquidity. The aim of this research was to evaluate factors contributing to the stock market liquidity constraints for companies listed on the NSX. Key Words: Evaluation, Factors, Stock Exchange, Liquidity, Regulatory, Corporate Governance, Capital Markets Introduction Stock market liquidity is linked to savings mobilization, long-term capital investment, risk diversification, stock market development and economic growth (Ahmed, Shahbaz and Ali, 2008: 191; Antonios, 2010: 8; Omet, 2011: 4). Lack of liquidity is a serious impediment to the efficient functioning of stock markets and impacts stock prices adversely (Bokpin (2013: 2143). Liquidity is the ability to trade financial securities easily and at a low cost (Yartey, 2008: 16). -
Apêndice a País Código MIC Identificação Do Mercado/MTF
Apêndice A Código País MIC Identificação do Mercado/MTF ALBANIA XTIR TIRANA STOCK EXCHANGE ALGERIA XALG ALGIERS STOCK EXCHANGE ARGENTINA XBUE BUENOS AIRES STOCK EXCHANGE ARGENTINA XMAB MERCADO ABIERTO ELECTRONICO S.A. ARGENTINA XMEV MERCADO DE VALORES DE BUENOS AIRES S.A. ARGENTINA XMTB MERCADO A TERMINO DE BUENOS AIRES S.A. ARGENTINA XBCM BOLSA DE COMMERCIO DE MENDOZA S.A. ARGENTINA XROS BOLSA DE COMERCIO ROSARIO ARMENIA XARM ARMENIAN STOCK EXCHANGE AUSTRALIA XNEC STOCK EXCHANGE OF NEWCASTLE LTD AUSTRALIA XASX ASX OPERATIONS PTY LIMITED AUSTRALIA XSFE SYDNEY FUTURES EXCHANGE LIMITED AUSTRALIA XYIE YIELDBROKER PTY LTD AUSTRIA XNEW NEWEX OESTERREICHISCHE TERMIN- UND AUSTRIA XOTB OPTIONENBOERSE, CLEARING BANK AG AUSTRIA XWBO WIENER BOERSE AG AZERBAIJAN XIBE BAKU INTERBANK CURRENCY EXCHANGE BAHAMAS XBAA BAHAMAS INTERNATIONAL STOCK EXCHANGE BAHRAIN XBAH BAHRAIN STOCK EXCHANGE BANGLADESH XCHG CHITTAGONG STOCK EXCHANGE LTD. BANGLADESH XDHA DHAKA STOCK EXCHANGE LTD BARBADOS XBAB SECURITIES EXCHANGE OF BARBADOS BELGIUM XBRU EURONEXT BRUSSELS BELGIUM XEAS NASDAQ EUROPE BERMUDA XBDA BERMUDA STOCK EXCHANGE LTD, THE BOLIVIA XBOL BOLSA BOLIVIANA DE VALORES S.A. BOTSWANA XBOT BOTSWANA STOCK EXCHANGE BRAZIL XBVP BOLSA DE VALORES DO PARANA BRAZIL XBBF BOLSA BRASILIERA DE FUTUROS BRAZIL XRIO BOLSA DE VALORES DO RIO DE JANEIRO SOCIEDADE OPERADORA DO MERCADO DE BRAZIL XSOM ATIVOS S.A. BRAZIL XBMF BOLSA DE MERCADORIAS E FUTUROS BRAZIL XBSP BOLSA DE VALORES DE SAO PAULO BULGARIA XBUL BULGARIAN STOCK EXCHANGE MONTREAL EXCHANGE THE / BOURSE DE CANADA XMOD MONTREAL -
Fcp Ecobank Actions Uemoa
BRVM 10 124,11 BRVM Composite 132,89 Variation Jour -0,20 % BULLETIN OFFICIEL DE Variation Jour -0,14 % LA COTE Variation annuelle -16,77 % N° 70 mercredi 8 avril 2020 Site : www.brvm.org Variation annuelle -16,55 % Actions Niveau Evol. Jour Obligations Niveau Evol. Jour Capitalisation boursière (FCFA)(Actions & Droits) 3 992 667 946 736 -0,14 % Capitalisation boursière (FCFA) 4 764 987 694 335 0,07 % Volume échangé (Actions & Droits) 100 400 1,64 % Volume échangé 482 -95,74 % Valeur transigée (FCFA) (Actions & Droits) 1 156 717 561 249,14 % Valeur transigée (FCFA) 4 822 984 -95,74 % Nombre de titres transigés 30 -11,76 % Nombre de titres transigés 6 50,00 % Nombre de titres en hausse 8 -27,27 % Nombre de titres en hausse 4 33,33 % Nombre de titres en baisse 7 0,00 % Nombre de titres en baisse 1 0,00 % Nombre de titres inchangés 15 -6,25 % Nombre de titres inchangés 1 PLUS FORTES HAUSSES PLUS FORTES BAISSES Titres Cours Evol. Jour Evol. Titres Cours Evol. Jour Evol. annuelle annuelle BERNABE CI (BNBC) 740 7,25 % 5,71 % CIE CI (CIEC) 1 300 -3,70 % -18,75 % SODE CI (SDCC) 2 800 5,66 % 0,00 % BOLLORE (SDSC) 1 355 -3,21 % -9,67 % SICABLE CI (CABC) 630 5,00 % 0,00 % PALM CI (PALC) 1 000 -1,96 % -45,05 % FILTISAC CI (FTSC) 995 4,74 % -42,32 % CORIS BANK INTERNATIONAL (CBIBF) 7 590 -1,43 % -5,13 % TOTAL SN (TTLS) 1 275 3,66 % -25,00 % ECOBANK COTE D''IVOIRE (ECOC) 2 955 -1,34 % -25,94 % INDICES SECTORIELS Base = 100 au 14 juin 1999 Nombre de sociétés Valeur Evol. -
Relationship Between Risk and Return of Stocks Listed at the Nairobi Securities Exchange
RELATIONSHIP BETWEEN RISK AND RETURN OF STOCKS LISTED AT THE NAIROBI SECURITIES EXCHANGE DANIEL MWANGI MWANIKI D61/84153/2012 A RESEARCH PROJECT SUBMITTED IN PARTIAL FULFILLMENT OF THE REQUIREMENTS FOR THE AWARD OF THE DEGREE OF MASTER OF BUSINESS ADMINISTRATION, UNIVERSITY OF NAIROBI NOVEMBER, 2015 DECLARATION This Research Project is my original work and has not been presented for an award of a degree in any other university or learning institution. Signature: …………………………………….. Date: ……………………………. Daniel Mwangi Mwaniki D61/84153/2012 This Research Project has been submitted for examination with my approval as the University supervisor. Signature: …………………………………………….. Date: ……………………………. Prof. Josiah Aduda The Dean, School of Business, University of Nairobi II ACKNOWLEDGEMENT I express my sincere gratitude to my supervisor, Prof. Josiah Aduda, for his guidance; scholarly assistance and inspiration in making this research a reality. His devotion and encouragement towards the progress of this study from the initial stages to completion is highly appreciated. I would also like to take this opportunity to sincerely thank the Chairman of the Department of Finance and Accounting, Mr. Herick O. Ondigo. A special thanks to my family; Carmel, the love of my life and our children Andrew, Stephanie and Mary. Thanks also to my parents, my brothers and sisters, my classmates; David Mwangi, and George Maina. Sincere gratitude goes to my friends who supported me and those who we studied together. Finally, while I may not be able to mention and recognize the effort of others who contributed in one way or the other, I avail myself of this opportunity to thank you all. III DEDICATION I dedicate this project to my wife, Carmel Mwangi, for her unconditional support and help. -
An Analysis of the Relationship Between Risk and Expected Return in the BRVM Stock Exchange: Test of the CAPM
www.sciedu.ca/rwe Research in World Economy Vol. 5, No. 1; 2014 An Analysis of the Relationship between Risk and Expected Return in the BRVM Stock Exchange: Test of the CAPM Kolani Pamane1 & Anani Ekoue Vikpossi2 1 School of Management, Wuhan University of Technology, Wuhan, China 2 Swakop Uranium (Propriety) Ltd, Olympia Windhoek, Namibia Correspondence: Kolani Pamane, School of Management, Wuhan University of Technology, Wuhan 430070, China. E-mail: [email protected] Received: October 22, 2010 Accepted: November 10, 2010 Online Published: March 1, 2014 doi:10.5430/rwe.v5n1p13 URL: http://dx.doi.org/10.5430/rwe.v5n1p13 Abstract One of the most important concepts in investment theory is the relationship between risk and return. This relationship drives the theoretical foundation of many investment models such as the well known Capital Asset Pricing Model which predicts that the expected return on an asset above the risk-free rate is linearly related to the non-diversifiable risk measured by its beta. This study examines the Capital Asset Pricing Model (CAPM) and test it validity for the WAEMU space stock market called BRVM (BOURSE REGIONALE DES VALEURS MOBILIERES) using monthly stock returns from 17 companies listed on the stock exchange for the period of January 2000 to December 2008. Combining Black, Jensen and Scholes with Fama and Macbeth methods of testing the CAPM, the whole period was divided into four sub-periods and stock’s betas used instead of portfolio’s betas due to the small size of the sample. The CAPM’s prediction for the intercept is that it should equal zero and the slope should equal the excess returns on the market portfolio. -
Msci Index Calculation Methodology
INDEX METHODOLOGY MSCI INDEX CALCULATION METHODOLOGY Index Calculation Methodology for the MSCI Equity Indexes Esquivel, Carlos July 2018 JULY 2018 MSCI INDEX CALCULATION METHODOLOGY | JULY 2018 CONTENTS Introduction ....................................................................................... 4 MSCI Equity Indexes........................................................................... 5 1 MSCI Price Index Methodology ................................................... 6 1.1 Price Index Level ....................................................................................... 6 1.2 Price Index Level (Alternative Calculation Formula – Contribution Method) ............................................................................................................ 10 1.3 Next Day Initial Security Weight ............................................................ 15 1.4 Closing Index Market Capitalization Today USD (Unadjusted Market Cap Today USD) ........................................................................................................ 16 1.5 Security Index Of Price In Local .............................................................. 17 1.6 Note on Index Calculation In Local Currency ......................................... 19 1.7 Conversion of Indexes Into Another Currency ....................................... 19 2 MSCI Daily Total Return (DTR) Index Methodology ................... 21 2.1 Calculation Methodology ....................................................................... 21 2.2 Reinvestment -
Smes and Public Equity Financing: a New Dataset of SME Boards in Emerging-Market and Developing Economies
SMEs and Public Equity Financing: A New Dataset of SME Boards in Emerging-Market and Developing Economies John Schellhase and Jim Woodsome August 2017 Introduction In recent years, a number of stock exchanges in emerging-market and developing economies have established dedicated market segments for small and medium-sized enterprises (SMEs). The main purpose of these SME boards, as they are often called, is to expand access to equity finance for relatively small but growing firms with the potential, as a group, to significantly contribute to economic growth and employment. In some cases, SME boards also serve as feeder exchanges, incubating firms for later graduation to a stock exchange’s main board. Today, there around 30 dedicated SME boards in emerging-market and developing economies, the majority of which have been established in the last decade or so. Due to the role these firms can play in creating jobs and diversifying economies, improving access to finance for SMEs is a long-standing policy goal in developed and developing countries alike. As banks have curbed their lending to SMEs in the wake of the global financial crisis, policymakers and industry bodies are now increasingly emphasizing non-bank financing alternatives for SMEs. Public equity financing is one option that may be suitable for fast-growing SMEs with the capacity to meet the listing requirements. SME boards may contribute to expanding financial access for SMEs both directly, by facilitating access to public equity financing, and indirectly, by incentivizing listing firms to improve their financial reporting and corporate governance practices, which may, in turn, make them more appealing to credit-based lenders. -
Cooperation Among the Stock Exchanges of the Oic Member Countries
Journal of Economic Cooperation, 27 -3 (2006), 121-162 COOPERATION AMONG THE STOCK EXCHANGES OF THE OIC MEMBER COUNTRIES SESRTCIC In response to the increased competition prevailing in the international financial markets, national stock exchanges around the world recently made several attempts to upgrade their cooperation and improve their integration. Those attempts took often the form of coalitions, common trading platforms, mergers, associations, federations and unions. Like others, the OIC countries have recently intensified their efforts to promote cooperation among their stock exchanges with a view to developing and consolidating a mechanism for a possible form of integration among themselves. This paper reviews the experiences of various stock exchange alliances established at regional and international levels and draws some lessons for the OIC countries’ stock exchanges in terms of the need for harmonising their physical, institutional and legal frameworks and policies and sharing their investor base. 1. INTRODUCTION As the international trade and financial flows accelerated, the global economy witnessed an increase in the pace of integration. This process of globalisation is most evidently observed in the capital and financial markets. One important element that has led to such a result is the technological advancement in the information and telecommunications sector. Hence, financial transactions became instantaneous and the information guiding investments open to everybody. In this context, technological advancements and the resulting accelerated flow of information have increased efficiency, fairness, transparency and safety in the international financial and capital markets. 122 Journal of Economic Cooperation As those developments introduced new prospects and benefits to the stock markets all around the world, they increased competition among the financial markets, securities exchanges in particular. -
WEEKLY AFRICAN FOOTPRINT TRADING This Week’S Leading Headlines Across the African Capital Markets
SECURITIES AFRICA PAN-AFRICA RESEARCH & CAPITAL MARKETS WEEKLY AFRICAN FOOTPRINT TRADING This Week’s Leading Headlines Across the African Capital Markets We have included summaries for the countries listed below, please click on the country name should you wish to navigate to it directly: Botswana Mauritius Egypt Nigeria Ghana Tanzania Kenya Zambia Malawi Zimbabwe AFRICA STOCK EXCHANGE PERFORMANCE CURRENCIES WTD % Change YTD % Change 30-May-14 6-Jun-14 WTD % YTD % Cur- Country Index 30-May-14 6-Jun-14 Local USD Local USD rency Close Close Change Change Botswana DCI 9096.73 9114.93 0.20% -1.11% 0.68% -0.67% BWP 8.65 8.76 1.32 1.36 Egypt CASE 30 8242.94 8498.65 3.10% 3.05% 25.30% 21.45% EGP 7.13 7.13 0.05 3.17 Ghana GSE Comp Index 2319.12 2343.98 1.07% 1.07% 9.27% -13.61% GHS 1.87 2.98 - 26.48 Ivory Coast BRVM Composite 230.61 238.49 3.42% 173.78% 2.79% 169.04% CFA 482.10 182.11 - 62.23 - 61.79 Kenya NSE 20 4881.56 4847.80 -0.69% -0.33% -1.61% -2.65% KES 86.31 86.00 - 0.36 1.07 Malawi Malawi All Share 13233.53 13237.97 0.03% -0.61% 5.64% 12.76% MWK 384.10 386.56 0.64 - 6.31 Mauritius SEMDEX 2077.87 2091.96 0.68% 0.76% -0.18% -0.61% MUR 29.17 29.15 - 0.08 0.44 SEM 7 405.98 406.45 0.12% 0.19% 0.70% 0.26% Namibia Overall Index 1094.17 1105.80 1.06% -1.60% 10.91% 8.51% NAD 10.44 10.72 2.70 2.21 Nigeria Nigeria All Share 41474.40 41602.09 0.31% 0.20% 0.66% -0.48% NGN 161.19 161.36 0.11 1.14 Swaziland All Share 284.32 284.32 0.00% -2.63% -0.47% -2.63% SZL 10.44 161.36 2.70 2.22 Tanzania TSI 3206.25 3212.71 0.20% -0.73% 12.98% 7.11% TZS 1,626.90 -
COVID-19 Could Push Another 100 Million People Into Extreme
WORLD MSCI WORLD INDEX MARKET S 0.33% ▲ Vikram Limaye CEO at Radical Uncertainty: Decision Black Sea & Eurasia Coun - India’s NSE Making Beyond the Numbers tries in the Spotlight “The markets don’t seem to be con - An informative, profound yet practical Politics, Economy, Capital Markets, nected with the ground reality and the book by leading economists John Central Bank Interest Rates, News uncertainty” (p.3) Kay and Marvyn King (p.5) & Data (p. 10-11) USA : The US election news cycle kicked into full gear MALI: The Malian president resigned on with the Democratic National Convention. Next week, Wednesday following a military coup. This is the Republican National Convention will take center stage. the country's second coup in less than 10 years. BELARUS: President Alexan - Oxfam report Dignity Not Destitution der Lukashenko won Belarus' presidential election two weeks ago as protests continue to E.Asia & Pacific 239.8m sweep the country. South Asia 128.8m M Latin America Carib. 54. 3m A F .6m X 47 O 5 : Meadle East & N.Africa 44.9m e c r u o Sub Saharan Africa 44.6m S Europe & C.Asia 30. 5m LYBIA: GNA Chief Fayez al-Sar - Other High Income 4. 7m raj ordered on Friday a ceasefire in Libya.The Eastern-based par - liament also called for an imme - “Economic stimulus packages must support ordinary workers and small businesses, and bail outs OXFAM: diate ceasefire. for big corporations must be conditional on action to build fairer, more sustainable economies” Jose Maria Vera, Oxfam International Interim Executive Director COVID-19 could push another 100 Million People into Extreme POVERTY p to 100 million people will be pushed into "ex - poverty, but the new estimate puts the deterioration at 70 treme poverty" by the coronavirus crisis, World to 100 million. -
WEEKLY AFRICAN FOOTPRINT TRADING This Week’S Leading Headlines Across the African Capital Markets
SECURITIES AFRICA PAN-AFRICA RESEARCH & CAPITAL MARKETS WEEKLY AFRICAN FOOTPRINT TRADING This Week’s Leading Headlines Across the African Capital Markets We have included summaries for the countries listed below, please click on the country name should you wish to navigate to it directly: Botswana Mauritius Egypt Nigeria Ghana Tanzania Kenya Zambia Malawi Zimbabwe AFRICA STOCK EXCHANGE PERFORMANCE CURRENCIES WTD % Change YTD % Change 7-Mar-14 14-Mar-14 WTD % YTD % Cur- Country Index 7-Mar-14 14-Mar-14 Local USD Local USD rency Close Close Change Change Botswana DCI 9,155.35 9,003.87 -1.65% -2.13% -0.55% -1.81% BWP 8.71 8.76 0.49 1.29 Egypt CASE 30 7,949.60 8,140.05 2.40% 2.30% 20.01% 19.38% EGP 6.94 6.95 0.09 0.53 Ghana GSE Comp Index 2,419.38 2,403.27 -0.67% -0.39% 12.03% 4.29% GHS 1.87 2.53 - 0.28 7.42 Ivory Coast BRVM Composite 246.37 242.52 -1.56% -0.25% 4.53% 5.77% CFA 477.32 471.05 - 1.31 - 1.17 Kenya NSE 20 4906.72 4983.83 1.57% 1.70% 1.15% 1.16% KES 85.19 85.08 - 0.13 - 0.01 Malawi Malawi All Share 12,662.47 12,662.47 0.00% -0.35% 1.05% -0.08% MWK 415.82 417.27 0.35 1.13 Mauritius SEMDEX 2,074.51 2,067.21 -0.35% 0.01% -1.36% -1.05% MUR 29.04 28.93 - 0.36 - 0.31 SEM 7 399.07 402.70 0.91% 1.28% -0.23% 0.08% Namibia Overall Index 1,049.45 1,008.42 -3.91% -4.94% 1.15% -1.50% NAD 10.65 10.77 1.09 2.68 Nigeria Nigeria All Share 38,952.47 38,171.32 -2.01% -1.65% -7.64% -9.68% NGN 163.73 163.14 - 0.36 2.26 Swaziland All Share 294.27 294.27 0.00% -1.08% 3.01% 0.32% SZL 10.65 163.14 1.09 2.68 Tanzania TSI 2,913.40 2,904.08 -0.32% -0.07%