Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/45451 
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dc.contributor.authorAlagidede, Paulen
dc.contributor.authorPanagiotidis, Theodoreen
dc.contributor.authorZhang, Xuen
dc.date.accessioned2010-11-26-
dc.date.accessioned2011-05-09T09:35:00Z-
dc.date.available2011-05-09T09:35:00Z-
dc.date.issued2010-
dc.identifier.urihttp://hdl.handle.net/10419/45451-
dc.description.abstractWe 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.en
dc.language.isoengen
dc.publisher|aTÜSİAD-Koç University Economic Research Forum |cIstanbulen
dc.relation.ispartofseries|aWorking Paper |x1034en
dc.subject.jelC22en
dc.subject.jelC52en
dc.subject.jelG10en
dc.subject.ddc330en
dc.subject.keywordCorrelationen
dc.subject.keywordLong-run correlationen
dc.subject.keywordCointegrationen
dc.subject.keywordNon-parametric cointegrationen
dc.subject.keywordAfrican Stock Marketsen
dc.subject.stwKapitalmarktliberalisierungen
dc.subject.stwMarktintegrationen
dc.subject.stwBörsenkursen
dc.subject.stwKointegrationen
dc.subject.stwNichtparametrisches Verfahrenen
dc.subject.stwAfrikaen
dc.titleWhy a diversified portfolio should include African assets-
dc.typeWorking Paperen
dc.identifier.ppn640643655en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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