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Why a Diversified Portfolio Should Include African Assets
Paul Alagidede () and
Theodore Panagiotidis Xu Zhang ()
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Xu Zhang: Economic Research Institute, Guosen Research Institute, China
Koç University-TUSIAD Economic Research Forum Working Papers from Koc University-TUSIAD Economic Research Forum
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.
Keywords: Correlation; Long-run correlation; Cointegration; Non-parametric cointegration; African Stock Markets (search for similar items in EconPapers)
JEL-codes: C22 C52 G10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-afr and nep-ifn
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Downloads: (external link) http://eaf.ku.edu.tr/sites/eaf.ku.edu.tr/files/erf_wp_1034.pdf (application/pdf)
Related works: Journal Article: Why a diversified portfolio should include African assets (2011) Working Paper: Why a diversified portfolio should include African assets (2010) Working Paper: Why a Diversified Portfolio Should Include African Assets (2010) Working Paper: Why a diversified portfolio should include African assets (2010) This item may be available elsewhere in EconPapers: Search for items with the same title.
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Persistent link: http://EconPapers.repec.org/RePEc:koc:wpaper:1034
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