Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/45451
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dc.contributor.authorAlagidede, Paulen_US
dc.contributor.authorPanagiotidis, Theodoreen_US
dc.contributor.authorZhang, Xuen_US
dc.date.accessioned2010-11-26en_US
dc.date.accessioned2011-05-09T09:35:00Z-
dc.date.available2011-05-09T09:35:00Z-
dc.date.issued2010en_US
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_US
dc.language.isoengen_US
dc.publisher|aTÜSİAD-Koç University Economic Research Forum |cIstanbulen_US
dc.relation.ispartofseries|aTÜSİAD-Koç University Economic Research Forum working paper series |x1034en_US
dc.subject.jelC22en_US
dc.subject.jelC52en_US
dc.subject.jelG10en_US
dc.subject.ddc330en_US
dc.subject.keywordCorrelationen_US
dc.subject.keywordLong-run correlationen_US
dc.subject.keywordCointegrationen_US
dc.subject.keywordNon-parametric cointegrationen_US
dc.subject.keywordAfrican Stock Marketsen_US
dc.subject.stwKapitalmarktliberalisierungen_US
dc.subject.stwMarktintegrationen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwKointegrationen_US
dc.subject.stwNichtparametrisches Verfahrenen_US
dc.subject.stwAfrikaen_US
dc.titleWhy a diversified portfolio should include African assetsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn640643655en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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