Why a Diversified Portfolio Should Include African Assets

Imhotep Alagidede (), Theodore Panagiotidis and Xu Zhang ()
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Xu Zhang: Economic Research Institute, Guosen Research Institute, China

Working Paper series from Rimini Centre for Economic Analysis

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.

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)
Date: 2010-01
New Economics Papers: this item is included in nep-afr and nep-ifn
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Working Paper: Why a Diversified Portfolio Should Include African Assets (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:33_10

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