Why a Diversified Portfolio Should Include African Assets
AbstractWe employ parametric and non-parametric cointegration 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 the two. The two distinct cointegration approaches confirm the latter through recursive estimation. The implication is that global market movements may have little impact on Africa. However,we argue that including African assets in a mean variance portfolio could be beneficial to international investors.
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Bibliographic InfoPaper provided by Koc University-TUSIAD Economic Research Forum in its series Koç University-TUSIAD Economic Research Forum Working Papers with number 1034.
Length: 16 pages
Date of creation: Nov 2010
Date of revision:
Correlation; Long-run correlation; Cointegration; Non-parametric cointegration; African Stock Markets;
Other versions of this item:
- Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2011. "Why a diversified portfolio should include African assets," Applied Economics Letters, Taylor & Francis Journals, vol. 18(14), pages 1333-1340.
- 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.
- 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.
- 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)
This paper has been announced in the following NEP Reports:
- NEP-AFR-2010-12-04 (Africa)
- NEP-ALL-2010-12-04 (All new papers)
- NEP-IFN-2010-12-04 (International Finance)
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