This article investigates the impact of microstructure factors on asset pricing in some African stock markets. We use data on stocks listed on the Johannesburg Stock Exchange, the “Bourse Régionale des Valeurs Mobilières,” and the Nigeria Stock Exchange, and we consider international portfolio management from 2000 to 2014. Generalized least square and fixed effect are estimation methods used to highlight the effect of microstructure variables on expected return. At the same time, panel smooth transition regression (PSTR) modeling is considered to identify the thresholds in this effect. The results show that liquidity and to a lesser extent the number of trading days are the most common significant microstructure variables for all the studied markets. However, other variables’ effects on the return are specific to the considered stock markets. Furthermore, the PSTR estimator reveals that the impact of indicated factors on asset pricing is not linear because it produces a double threshold between return and microstructure.

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微观结构与资产定价：非洲前沿股票市场洞察

本文研究了微观结构因素对一些非洲股票市场资产定价的影响。我们使用约翰内斯堡证券交易所、“ Bourse Régionale des Valeurs Mobilières ”和尼日利亚证券交易所上市股票的数据，并考虑 2000 年至 2014 年的国际投资组合管理。广义最小二乘法和固定效应是用于强调的估计方法。微观结构变量对预期收益的影响。同时，考虑面板平滑过渡回归（PSTR）建模来识别这种效应的阈值。结果表明，流动性和较小程度上的交易天数是所有研究市场中最常见的重要微观结构变量。然而，其他变量对回报的影响特定于所考虑的股票市场。此外，PSTR 估计量表明，指示因素对资产定价的影响不是线性的，因为它在回报和微观结构之间产生了双重阈值。