Arbeitspapier
Why a diversified portfolio should include African assets
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 1034
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Evaluation, Validation, and Selection
General Financial Markets: General (includes Measurement and Data)
- Subject
-
Correlation
Long-run correlation
Cointegration
Non-parametric cointegration
African Stock Markets
Kapitalmarktliberalisierung
Marktintegration
Börsenkurs
Kointegration
Nichtparametrisches Verfahren
Afrika
- Event
-
Geistige Schöpfung
- (who)
-
Alagidede, Paul
Panagiotidis, Theodore
Zhang, Xu
- Event
-
Veröffentlichung
- (who)
-
TÜSİAD-Koç University Economic Research Forum
- (where)
-
Istanbul
- (when)
-
2010
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Alagidede, Paul
- Panagiotidis, Theodore
- Zhang, Xu
- TÜSİAD-Koç University Economic Research Forum
Time of origin
- 2010
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