Please use this identifier to cite or link to this item: 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
Authors: 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
JEL Code(s): C22
C52
G10
Issue Date: Nov-2010
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 or Discussion Paper
URI: http://hdl.handle.net/1893/2947
Affiliation: Economics
University of Macedonia
Economic Research Institute, Shanghai

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