The goal of this paper is to examine the impact of commodity market reforms on producer price volatility using evidence from the East African coffee market. The results, based on time‐varying volatility models and key summary statistics, show that coffee market reforms in the East African Community (EAC) are associated with changes in producer price volatility and volatility persistence at both country and regional levels. However, reforms were not the only cause of changes in price volatility. The study further shows that reforms had different effects on prices volatilities of Arabica and Robusta varieties of coffee grown in individual EAC countries. These findings have wider implication for commodity market reforms and producer price stabilisation policies in the EAC and coffee producing countries in sub‐Sahara Africa.

This paper examines the price discovery mechanism at the Dar es Salaam Stock Exchange (DSE) in Tanzania. The objective is to explain the efficiency of price discovery in relation to its dynamics and deterministic market features, using the All Sector Index (ASI). Our results provide evidence of inefficient price discovery at the Exchange, associated with some moments of structural shifts. Moreover, the inefficient price discovery is corroborated by the fact that the Index does not follow a random walk. These finding are consistent with our investigation of the main features of the market: inactive trading, illiquidity, high dependence on foreign investors to boost market activities, investors' dependence on dividend as the main source of income rather than stock trading, uncompetitive trading among brokers, and motives for more returns from alternative portfolio investments in government securities. Generally, the findings have strong implications for market participants and policy makers at the DSE and similar markets.

This chapter presents solutions to some challenges when calculating CAPM Beta. Three methods for calculating traditional beta are presented and illustrated through the case of Facebook. Different choices of market index, data frequency, and sample size result in different values of beta; however, in all cases beta was greater than one. The chapter explores ordinal beta as an alternative measure to treat outliers in both developed and thin markets. Using a sample of 84 US stocks, there was no statistical difference between median traditional and ordinal betas. This was not the case for a sample of 47 Colombian stocks, which questions the usefulness of traditional beta in thin markets. In contrast with median traditional beta, median ordinal beta did not change significantly as a result of irregular data series. The contrary occurred when the observation (sampling) period was reduced; this leaves open the question of subjectivity when defining such period. Finally, the process of valuing a private company was illustrated through the case of Palmoil Ltd., a Colombian company.

In 2014, the Colombian Stock Exchange commenced the implementation of its market-maker facility (MMF), aiming at improving market efficiency. This paper examines the impact of the MMF program on three volatility-related aspects: volatility persistence, risk premium, and information asymmetry. This paper provides new insights about the anticipated outcomes of Mercados Integrados Latinoamericanos (MILA) reforms, specifically the MMF on the volatility of the Colombian stock market. This topic has not been fully addressed in the existing literature. This study, therefore, provides useful information for regulators and policy makers, in endeavors to address key issues raised during the World Economic Forum (WEF) of 2016. This paper poses a challenge to policy makers and stock market regulators in Colombia to revisit the reform program and address the factors limiting the effectiveness of market reforms. This paper provides justification for replicating the study to cover other MILA countries due to existing differences in some domestic market policies and structures. The paper employs conditional variance models for measuring volatility persistence, risk premia, and information asymmetry. The models are employed on the COLCAP stock index (Colombia) observed from January 17, 2008 to May 30, 2019. Observations are divided into two samples - pre- and post-MMF. This paper provides evidence of the impacts of the MMF reforms in the Colombian stock market. Specifically, the MMF seems to have an impact on the following aspects: (i) the magnitude in which current returns depend on previous returns has increased; (ii) investment portfolio returns, which are generally low, have declined after the MMF, leading to less risk compensation; (iii) the MMF does not seem to have affected the volatility of market returns and information asymmetry; (iv) volatility persistence increased in magnitude.

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