Opportunities and costs of portfolio diversification in SADC's smallest equity markets

bibliographic database
Line

Periodical article

Title:	Opportunities and costs of portfolio diversification in SADC's smallest equity markets
Authors:	Hearn, Bruce 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
External link:	https://doi.org/10.1111/j.1813-6982.2008.00203.x
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]