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 University of Stirling, Division of Economics in its series Stirling Economics Discussion Papers with number 2010-15.
Date of creation: Nov 2010
Date of revision:
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Postal: Division of Economics, University of Stirling, Stirling, Scotland FK9 4LA
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Web page: http://www.econ.stir.ac.uk/
More information through EDIRC
African Stock Markets; Non-parametric cointegration; Cointegration; Long-run correlation; Correlation;
Other versions of this item:
- Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2011. "Why a diversified portfolio should include African assets," Applied Economics Letters, Taylor and 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.
- Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2010. "Why a diversified portfolio should include African assets," Discussion Paper Series 2010_17, Department of Economics, University of Macedonia, revised Nov 2010.
- 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.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- 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-2011-05-14 (Africa)
- NEP-ALL-2011-05-14 (All new papers)
- NEP-IFN-2011-05-14 (International Finance)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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