University of Sussex
Browse

File(s) under permanent embargo

Opportunities and Costs of Portfolio Diversification in SADC's Smallest Equity Markets

journal contribution
posted on 2023-06-08, 11:02 authored by Bruce Hearn, Jenifer Piesse
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.

History

Publication status

  • Published

File Version

  • Published version

Journal

South African Journal of Economics

ISSN

0038-2280

Publisher

Economic Society of South Africa

Issue

3

Volume

76

Page range

399-426

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-04-23

First Compliant Deposit (FCD) Date

2012-02-24

Usage metrics

    University of Sussex (Publications)

    Categories

    No categories selected

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC