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http://hdl.handle.net/1893/2947| Appears in Collections: | Economics Working Papers |
| Peer Review Status: | Unrefereed |
| Title: | Why a diversified portfolio should include African assets |
| Author(s): | Alagidede, Paul Panagiotidis, Theodore Zhang, Xu |
| Contact Email: | economics@stir.ac.uk |
| Citation: | Alagidede P, Panagiotidis T & Zhang X (2010) Why a diversified portfolio should include African assets. Stirling Economics Discussion Paper, 2010-15. |
| Keywords: | Correlation Long-run correlation Cointegration Non-parametric cointegration African Stock Markets Stock exchanges Africa Investments Africa |
| JEL Code(s): | C22: Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes C52: Model Evaluation, Validation, and Selection G10: General Financial Markets: General (includes Measurement and Data) |
| Issue Date: | 1-Nov-2010 |
| Date Deposited: | 15-Apr-2011 |
| Series/Report no.: | Stirling Economics Discussion Paper, 2010-15 |
| Abstract: | We 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. |
| Type: | Working Paper |
| URI: | http://hdl.handle.net/1893/2947 |
| Affiliation: | Economics University of Macedonia Economic Research Institute, Shanghai |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| SEDP-2010-15-Alagidede-Panagiotidis-Zhang.pdf | Fulltext - Accepted Version | 540.33 kB | Adobe PDF | View/Open |
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