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Opportunities and Costs of Portfolio Diversification in SADC's Smallest Equity Markets
journal contribution
posted on 2023-06-08, 11:02 authored by Bruce Hearn, Jenifer PiesseThis 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
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- Published version
Journal
South African Journal of EconomicsISSN
0038-2280Publisher
Economic Society of South AfricaExternal DOI
Issue
3Volume
76Page range
399-426Department affiliated with
- Business and Management Publications
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- No
Peer reviewed?
- Yes
Legacy Posted Date
2012-04-23First Compliant Deposit (FCD) Date
2012-02-24Usage metrics
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