This article assesses the effectiveness of traded turnover and Amihud (2002) metrics in measuring illiquidity, as used in a multifactor Capital Asset Pricing Model (CAPM). The performance of this model is contrasted with Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and...

The New Economic Partnership for Africa's Development (NEPAD) focuses on the benefits of integrating many smaller African markets with South Africa as the central hub, motivated by a wish to attract foreign investment and increase the liquidity. However, little attention has been paid to issues...