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Periodical article Periodical article Leiden University catalogue Leiden University catalogue WorldCat catalogue WorldCat
Title:Opportunities and costs of portfolio diversification in SADC's smallest equity markets
Authors:Hearn, BruceISNI
Piesse, Jenifer
Year:2008
Periodical:South African Journal of Economics
Volume:76
Issue:3
Pages:399-426
Language:English
Geographic terms:Mozambique
Namibia
South Africa
Swaziland - Eswatini
Subjects:securities
financial market
international economic relations
Link:http://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2008.00203.x/pdf
Abstract:This paper contrasts the performance of three time series models, a simple stochastic drift, GARCH (generalized autoregressive conditional heteroskedasticity), and a time varying parameter CAPM (capital asset pricing model) 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 optimized 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 and Mozambique. The evidence suggests that investors in the smaller markets would face considerable additional costs should such a policy be adopted. Bibliogr., notes, ref., sum. [Journal abstract]
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