Liquidity-Adjusted Capital Asset Pricing Model in Emerging Market : How is Ghana Faring?

Authors(2) :-Yao Hongxing, Solomon Duduchoge

Corporate Social Responsibility (CSR) with its many facets of definitions and practices is used to examine the effect of illiquidity risk on expected excess stock returns in Ghana. As a corporate social responsibility, the GSE recently engineered the operation of what it termed the Ghana Alternative Market in 2015 since one of the cardinal pillars of CSR is to drive change towards sustainability focusing on businesses with a high potential for growth. Evidence exists to show that liquidity risk can be measured using the conditional asset pricing model in Ghana. It is realize that systematic liquidity risk is priced in Ghana using the different risk premia. It emerge that though the size of market capitalization in Ghana is small with its small firm size, liquidity risk is priced systematically irrespective of the type of the market. Our evaluation concludes that under different market situation, the Ghanaian economy is more align to the downward market where stocks are priced during the period the last financial shock. Cross-listing of stock and regional market integration in Sub-Sahara Africa is a policy option managers of the economy should focus.

Authors and Affiliations

Yao Hongxing
School of Finance and Economics, Jiangsu University, 301 Xuefu Road, Zhenjiang, P. R. China
Solomon Duduchoge
Koforidua Technical University, Koforidua,Box 981,Koforidua Ghana

Corporate Social Responsibility, Liquidity Risk, Asset Pricing, Emerging Market, Sub Sahara Africa

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Publication Details

Published in : Volume 3 | Issue 1 | January-February 2017
Date of Publication : 2017-02-28
License:  This work is licensed under a Creative Commons Attribution 4.0 International License.
Page(s) : 105-116
Manuscript Number : IJSRSET173111
Publisher : Technoscience Academy

Print ISSN : 2395-1990, Online ISSN : 2394-4099

Cite This Article :

Yao Hongxing, Solomon Duduchoge, " Liquidity-Adjusted Capital Asset Pricing Model in Emerging Market : How is Ghana Faring?, International Journal of Scientific Research in Science, Engineering and Technology(IJSRSET), Print ISSN : 2395-1990, Online ISSN : 2394-4099, Volume 3, Issue 1, pp.105-116, January-February-2017.
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