Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/45451
Authors: 
Alagidede, Paul
Panagiotidis, Theodore
Zhang, Xu
Year of Publication: 
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

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