An augmented capital asset pricing model
An augmented capital asset pricing model
An augmented capital asset pricing model
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
Figure 1: Aggregated Market Illiquidity Factors, by Country<br />
Market aggregate Amihud Liquidity Factor for Morocco<br />
Market aggregate Amihud Liquidity Factor for London (FTSE100)<br />
140.00<br />
0.14<br />
120.00<br />
0.12<br />
100.00<br />
80.00<br />
60.00<br />
40.00<br />
0.10<br />
0.08<br />
0.06<br />
0.04<br />
Amihud Liquidity Factor (x10^6)<br />
Amihud Liquidity Factor (x10^6)<br />
20.00<br />
0.02<br />
0.00<br />
0.00<br />
Jan-96<br />
Jul-96<br />
Jan-97<br />
Jul-97<br />
Jan-98<br />
Jul-98<br />
Jan-99<br />
Jul-99<br />
Jan-00<br />
Jul-00<br />
Jan-01<br />
Jul-01<br />
Jan-02<br />
Jul-02<br />
Jan-03<br />
Jul-03<br />
Jan-04<br />
Jul-04<br />
Jan-05<br />
Jul-05<br />
Jan-06<br />
Jul-06<br />
Jan-07<br />
Jul-07<br />
Jan-96<br />
Jul-96<br />
Jan-97<br />
Jul-97<br />
Jan-98<br />
Jul-98<br />
Jan-99<br />
Jul-99<br />
Jan-00<br />
Jul-00<br />
Jan-01<br />
Jul-01<br />
Jan-02<br />
Jul-02<br />
Jan-03<br />
Jul-03<br />
Jan-04<br />
Jul-04<br />
Jan-05<br />
Jul-05<br />
Jan-06<br />
Jul-06<br />
Jan-07<br />
Jul-07<br />
100.00<br />
Market aggregate Amihud Liquidity Factor for Egypt (CASE)<br />
40.00<br />
Market aggregate Amihud Liquidity Factor for South Africa<br />
90.00<br />
35.00<br />
80.00<br />
30.00<br />
70.00<br />
60.00<br />
50.00<br />
40.00<br />
30.00<br />
25.00<br />
20.00<br />
15.00<br />
Amihud Liquidity Factor (x10^6)<br />
Amihud Liquidity Factor (x10^6)<br />
10.00<br />
20.00<br />
10.00<br />
5.00<br />
0.00<br />
0.00<br />
Jan-96<br />
Jul-96<br />
Jan-97<br />
Jul-97<br />
Jan-98<br />
Jul-98<br />
Jan-99<br />
Jul-99<br />
Jan-00<br />
Jul-00<br />
Jan-01<br />
Jul-01<br />
Jan-02<br />
Jul-02<br />
Jan-03<br />
Jul-03<br />
Jan-04<br />
Jul-04<br />
Jan-05<br />
Jul-05<br />
Jan-06<br />
Jul-06<br />
Jan-07<br />
Jul-07<br />
Jan-96<br />
Jul-96<br />
Jan-97<br />
Jul-97<br />
Jan-98<br />
Jul-98<br />
Jan-99<br />
Jul-99<br />
Jan-00<br />
Jul-00<br />
Jan-01<br />
Jul-01<br />
Jan-02<br />
Jul-02<br />
Jan-03<br />
Jul-03<br />
Jan-04<br />
Jul-04<br />
Jan-05<br />
Jul-05<br />
Jan-06<br />
Jul-06<br />
Jan-07<br />
Jul-07<br />
Illiquidity factors constructed according to Amihud (2002) techniques outlined in equations (1) and (2). Larger absolute values are interpreted as higher levels of aggregate illiquidity (lower<br />
levels of liquidity
Change language