Opportunities and costs of portfolio diversification in SADC's smallest equity markets
Opportunities and costs of portfolio diversification in SADC's smallest equity markets
This paper contrasts the performance of three time series models, a simple stochastic drift, GARCH, and a time varying parameter CAPM for three of SADC's smallest equity markets: Namibia, Swaziland and Mozambique. Analysis of the portfolio characteristics for each reveals the level of integration with South Africa using optimised portfolio frontiers. In addition, the implications of adopting a minimum investment retention levy by the smaller states is examined. Namibia is found to exhibit the greatest degree of integration with South Africa, followed to a much lesser extent by Swaziland with Mozambique. The evidence suggests that investors in the smaller markets would face considerable additional costs should such a policy be adopted.
Assetpricing, International financial markets, Portfolio choice, Sub-Saharan Africa
399-426
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Piesse, Jenifer
b85393d2-b4ae-49f2-87cd-8b5007c99e97
September 2008
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Piesse, Jenifer
b85393d2-b4ae-49f2-87cd-8b5007c99e97
Hearn, Bruce and Piesse, Jenifer
(2008)
Opportunities and costs of portfolio diversification in SADC's smallest equity markets.
South African Journal of Economics, 76 (3), .
(doi:10.1111/j.1813-6982.2008.00203.x).
Abstract
This paper contrasts the performance of three time series models, a simple stochastic drift, GARCH, and a time varying parameter CAPM for three of SADC's smallest equity markets: Namibia, Swaziland and Mozambique. Analysis of the portfolio characteristics for each reveals the level of integration with South Africa using optimised portfolio frontiers. In addition, the implications of adopting a minimum investment retention levy by the smaller states is examined. Namibia is found to exhibit the greatest degree of integration with South Africa, followed to a much lesser extent by Swaziland with Mozambique. The evidence suggests that investors in the smaller markets would face considerable additional costs should such a policy be adopted.
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Published date: September 2008
Keywords:
Assetpricing, International financial markets, Portfolio choice, Sub-Saharan Africa
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Local EPrints ID: 423413
URI: http://eprints.soton.ac.uk/id/eprint/423413
ISSN: 0038-2280
PURE UUID: ed65510a-994f-484e-8b4e-7513f7a4f0f8
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Date deposited: 21 Sep 2018 16:30
Last modified: 16 Mar 2024 04:37
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Author:
Jenifer Piesse
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