Opportunities And Costs Of Portfolio Diversification In Sadc'S Smallest Equity Markets
AbstractThis paper contrasts the performance of three time series models, a simple stochastic drift, GARCH, and a time varying parameter CAPM for three of SADC's smallest equity markets: Namibia, Swaziland and Mozambique. Analysis of the portfolio characteristics for each reveals the level of integration with South Africa using optimised portfolio frontiers. In addition, the implications of adopting a minimum investment retention levy by the smaller states is examined. Namibia is found to exhibit the greatest degree of integration with South Africa, followed to a much lesser extent by Swaziland with Mozambique. The evidence suggests that investors in the smaller markets would face considerable additional costs should such a policy be adopted. Copyright (c) 2008 The Authors. Journal compilation (c) 2008 Economic Society of South Africa.
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Bibliographic InfoArticle provided by Economic Society of South Africa in its journal South African Journal of Economics.
Volume (Year): 76 (2008)
Issue (Month): 3 (09)
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