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- Title
OPPORTUNITIES AND COSTS OF PORTFOLIO DIVERSIFICATION IN SADC'S SMALLEST EQUITY MARKETS.
- Authors
Hearn, Bruce; Piesse, Jenifer
- 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.
- Subjects
SUB-Saharan Africa; PORTFOLIO management (Investments); STOCHASTIC analysis; STOCK exchanges; CAPITAL levy; INVESTORS; INTERNATIONAL economic relations; SOUTHERN African Development Community; CAPITAL assets pricing model
- Publication
South African Journal of Economics, 2008, Vol 76, Issue 3, p399
- ISSN
0038-2280
- Publication type
Article
- DOI
10.1111/j.1813-6982.2008.00203.x