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). pp. 399-426. ISSN 0038-2280
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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.
Item Type: | Article |
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Schools and Departments: | University of Sussex Business School > Business and Management |
Subjects: | H Social Sciences > HG Finance > HG3810 Foreign exchange. International finance. International monetary system H Social Sciences > HG Finance > HG4001 Finance management. Business finance. Corporation finance |
Related URLs: | |
Depositing User: | Bruce Hearn |
Date Deposited: | 23 Apr 2012 14:51 |
Last Modified: | 03 Jul 2019 00:22 |
URI: | http://sro.sussex.ac.uk/id/eprint/38182 |
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