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Appears in Collections:Economics Journal Articles
Peer Review Status: Refereed
Title: Why a Diversified Portfolio Should Include African Assets
Author(s): Alagidede, Paul
Panagiotidis, Theodore
Zhang, Xu
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Keywords: Correlation
Long-run correlation
Non-parametric cointegration
African Stock Markets
Issue Date: Sep-2011
Citation: Alagidede P, Panagiotidis T & Zhang X (2011) Why a Diversified Portfolio Should Include African Assets, Applied Economics Letters, 18 (14), pp. 1333-1340.
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.
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Rights: Published in Applied Economics Letters by Taylor & Francis (Routledge).; This is an electronic version of an article published in Applied Economics Letters, 2011, 18 (14): 1333-1340. Applied Economics Letters is available online at:

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