Research on African Financial Markets

The Hidden Covariance in BRVM 30 Portfolios

How does measured BRVM 30 portfolio risk change from one to twenty sessions under different portfolio weights?

This study reconstructs all 30 BRVM 30 securities from official market bulletins and examines how daily covariance scales across institutional risk horizons under float-cap, equal and inverse-volatility portfolio constructions. It combines a full horizon-risk term structure with activity diagnostics and independent daily price-limit sequences to distinguish portfolio-weight effects from competing market-microstructure explanations.

Dangote Refinery: When Does a Mega-Listing Reshape NGX?

Under which full-capitalisation and accessible-float combinations would a Dangote Refinery listing change NGX concentration and turnover requirements?

This ex-ante market-structure study separates full market capitalisation, accessible float, index-adjusted investability and realised trading liquidity. It maps the concentration threshold and turnover-rate requirements that could alter NGX structure, without treating a prospective transaction as a realised event or an execution-capacity estimate.

BVMAC: Do Stale Prices Understate Risk When Trading Resumes?

This study examines whether price staleness, measured as time since the last trade, contains additional information about return risk at the next trade. The empirical design separates a stale-price effect from the normal accumulation of risk over time.