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| Title: | | Why a diversified portfolio should include African assets  |
| Authors: | | Alagidede, Paul Panagiotidis, Theodore Zhang, Xu |
| Issue Date: | | 2010 |
| Series/Report no.: | | TÜSİAD-Koç University Economic Research Forum working paper series 1034 |
| 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. |
| Subjects: | | Correlation Long-run correlation Cointegration Non-parametric cointegration African Stock Markets |
| JEL: | | C22 C52 G10 |
| Document Type: | | Working Paper |
| Appears in Collections: | | ERF Working Paper Series, TÜSİAD-Koç University Economic Research Forum (ERF)
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