Nicholas Addai Boamah
- Title: Mr
- Position: PhD Student - Department of Applied Finance and Actuarial Studies
- Principal supervisor: Dr Edward Watts
- Associate supervisor: Associate Professor Geoff Loudon
- Date of submission: 01/01/2015
- Thesis title: Risk-return Characteristics of the Ghana Stock Exchange
- Abstract: The need for the sustained provision of long term funding that is required to stimulate corporate sector growth have led nations to develop stock markets. Stock market investors need an appreciation of the structure of a given market as they embark on their risk-return tradeoffs. The risk that equity investors on the Ghana Stock Exchange (GSE) are exposed to is most likely to be different from what pertains in other emerging markets within and without sub-Saharan Africa but there is a dearth of knowledge on the GSE’s risk-return characteristics. This study investigates the characteristics of the GSE and their implications for global portfolio diversification. It examines the severity of thin trading on the GSE and its insinuations for market risks and returns. It will also analyse the impact of firm fundamentals on equity returns on the GSE. The degree of integration between the GSE and the global financial market would also be investigated. It will find out the effect of market barriers on the GSEs performance. The study will utilize regression and factor analysis techniques. Weekly stock market data would be used. The study will make recommendations towards improving the performance of the GSE.
- Purpose: This study explores the relationship between the cross-section of stock returns and firm size and book-to-market equity on emerging stock markets in Africa. It investigates any possible association that may exist between any observed size and book-to-market effects on the African markets.
- Originality: The study makes a contribution to the emerging market asset pricing literature.
- Design/methodology/approach: The investigation is carried out within the framework of Fama-French three factor model. Monthly returns are used in the study.
- Findings: There exists independent small firm and value effect on the African stock markets. The observed size and value premia are significant practically and statistically.
- Practical and social implications: It will enhance investment decisions on the African markets.
- Keywords: Market capitalization, Book-to-market equity, Stock returns, Emerging market