Why a diversified portfolio should include African assets
AbstractWe employ parametric and nonparametric cointegration approaches to investigate the extent of integration between African stock markets and the rest of the world. Long-run correlation estimates imply very low association between these two. The two distinct cointegration approaches confirm the latter through recursive estimation. The implication is that global markets have little impact on African stock markets. However, including African assets in a mean-variance portfolio would be beneficial to international investors.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 18 (2011)
Issue (Month): 14 ()
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Other versions of this item:
- Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2010. "Why a Diversified Portfolio Should Include African Assets," KoÃ§ University-TUSIAD Economic Research Forum Working Papers 1034, Koc University-TUSIAD Economic Research Forum.
- Alagidede, Paul & Panagiotidis, Theodore & Zhang, Xu, 2010. "Why a diversified portfolio should include African assets," Stirling Economics Discussion Papers 2010-15, University of Stirling, Division of Economics.
- Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2010. "Why a Diversified Portfolio Should Include African Assets," Working Paper Series 33_10, The Rimini Centre for Economic Analysis.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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