African stock markets have particular characteristics, chiefly the extreme volatility of their returns, which would imply a significant risk premium. Very few studies attempted to investigate the existence of this risk premium for some return determinants on these markets. The purpose of this article is to evaluate the price of the microstructure risk on some selected African emerging stock markets, including JSE, NSE and BRVM. The data used is from these stock markets databases and ranges from 2000 to 2014. Generalised least square and generalised estimating equations methods are used at the last step of a modified version of Fama and Macbeth's (1973) sequential estimation technique, on a set of portfolio formed based on two different strategies. The results show that microstructure risk is not significantly priced on individual stock markets. However, it is better priced when portfolios are constituted with stocks of several financial markets. Indeed, except the liquidity, all considered microstructure risk factors are significantly and consistently priced. This highlights the fact that the risk premium is more attractive when markets are integrated. The study points out the need for the globalisation of African stock markets and a necessity to facilitate information flow.

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