Integration of the South African equity market into the world major stock markets: implication for portfolio diversification
- Chinzara, Zivanemoyo, Aziakpono, Meshach J
- Authors: Chinzara, Zivanemoyo , Aziakpono, Meshach J
- Date: 2009
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/469889 , vital:77305 , https://hdl.handle.net/10520/EJC33719
- Description: The paper investigates whether there are any benefits from international equity diversification for South African long term investors using daily stock market indices for seven world stock markets for the period 1995-2008. Firstly, pairwise portfolios are tested for long-run comovement using the bivariate cointegration approach. Wider portfolios are then tested for long-run comovement using the multivariate cointegration based on the Johansen and Juselius (1992) approach. While no bivariate cointegration exists between the South Africa and each of the selected world major equity markets for the entire 1995-2008, cointegration exist with US if a dummy is included. Multivariate cointegration analysis suggests that long-run comovement exists for some of the wider portfolios with most of long-run coefficients being negative. Overall, our findings show that integration of SA to the major world markets is weak suggesting that international portfolio diversification is potentially worthwhile for South African investors.
- Full Text:
- Date Issued: 2009
- Authors: Chinzara, Zivanemoyo , Aziakpono, Meshach J
- Date: 2009
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/469889 , vital:77305 , https://hdl.handle.net/10520/EJC33719
- Description: The paper investigates whether there are any benefits from international equity diversification for South African long term investors using daily stock market indices for seven world stock markets for the period 1995-2008. Firstly, pairwise portfolios are tested for long-run comovement using the bivariate cointegration approach. Wider portfolios are then tested for long-run comovement using the multivariate cointegration based on the Johansen and Juselius (1992) approach. While no bivariate cointegration exists between the South Africa and each of the selected world major equity markets for the entire 1995-2008, cointegration exist with US if a dummy is included. Multivariate cointegration analysis suggests that long-run comovement exists for some of the wider portfolios with most of long-run coefficients being negative. Overall, our findings show that integration of SA to the major world markets is weak suggesting that international portfolio diversification is potentially worthwhile for South African investors.
- Full Text:
- Date Issued: 2009
Financial liberalization, currency substitution and savings in Nigeria: Evidence from cointegration and error correction modeling
- Aziakpono, Meshach J, Babatope-Obasa, Sanmi
- Authors: Aziakpono, Meshach J , Babatope-Obasa, Sanmi
- Date: 2004
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/469837 , vital:77299 , https://hdl.handle.net/10520/EJC31436
- Description: The study set out to test the McKinnon-Shaw proposition that financial liberalization will significantly increase savings mobilization. The results partly supported the financial liberalization proposition. Variables that capture the effects of currency substitution such as the interest rate differential, a proxy for underground economy, the inflation differential (as a measure of macroeconomic instability) and a dummy for political instability were significant in their adverse impacts on the saving mobilization process in Nigeria. We, therefore, advocate for an active monetary policy that will help manage the delicate balance between domestic and foreign interest rates. This should be combined with macroeconomic policies that create a stable economic environment along with appropriate financial and exchange rate policies, in order to discourage economic agents from preferring foreign denominated assets to those held in the domestic currency.
- Full Text:
- Date Issued: 2004
- Authors: Aziakpono, Meshach J , Babatope-Obasa, Sanmi
- Date: 2004
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/469837 , vital:77299 , https://hdl.handle.net/10520/EJC31436
- Description: The study set out to test the McKinnon-Shaw proposition that financial liberalization will significantly increase savings mobilization. The results partly supported the financial liberalization proposition. Variables that capture the effects of currency substitution such as the interest rate differential, a proxy for underground economy, the inflation differential (as a measure of macroeconomic instability) and a dummy for political instability were significant in their adverse impacts on the saving mobilization process in Nigeria. We, therefore, advocate for an active monetary policy that will help manage the delicate balance between domestic and foreign interest rates. This should be combined with macroeconomic policies that create a stable economic environment along with appropriate financial and exchange rate policies, in order to discourage economic agents from preferring foreign denominated assets to those held in the domestic currency.
- Full Text:
- Date Issued: 2004
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