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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
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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
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
Affiliation: Economics
University of Macedonia
Economic Research Institute, Shanghai

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