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Citation

Alagidede P, Panagiotidis T & Zhang X (2010) Why a diversified portfolio should include African assets. Stirling Economics Discussion Paper, 2010-15.

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.

Keywords
Correlation; Long-run correlation; Cointegration; Non-parametric cointegration; African Stock Markets; Stock exchanges Africa; Investments Africa

JEL codes

• C22: Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
• C52: Model Evaluation, Validation, and Selection
• G10: General Financial Markets: General (includes Measurement and Data)

• SEDP-2010-15-Alagidede-Panagiotidis-Zhang.pdf