OPPORTUNITIES AND COSTS OF PORTFOLIO DIVERSIFICATION IN SADC'S SMALLEST EQUITY MARKETS |
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Authors: | Bruce Hearn Jenifer Piesse |
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Institution: | Sir John Cass Business School and King's College London and Department of Management, King's College London, UK and University of Stellenbosch, RSA |
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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. |
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Keywords: | G11 G12 G15 O55 Portfolio choice asset pricing international financial markets sub‐Saharan Africa |
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