OPPORTUNITIES AND COSTS OF PORTFOLIO DIVERSIFICATION IN SADC'S SMALLEST EQUITY MARKETS

被引:2
作者
Hearn, Bruce [1 ,2 ]
Piesse, Jenifer [1 ,2 ]
机构
[1] Kings Coll London, Dept Management, London, England
[2] Univ Stellenbosch, RSA, ZA-7600 Stellenbosch, South Africa
关键词
G11; G12; G15; O55; Portfolio choice; asset pricing; international financial markets; sub-Saharan Africa;
D O I
10.1111/j.1813-6982.2008.00203.x
中图分类号
F [经济];
学科分类号
02 ;
摘要
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.
引用
收藏
页码:399 / 426
页数:28
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