The Opportunities and Costs of Portfolio Diversification in Southern Africa’s Smallest Equity Markets

Hearn, B., & Piesse, J. (2008). The Costs and Opportunities for Portfolio Diversification in Southern Africa’s Smallest Equity Markets. South African Journal of Economics, 76(3): 399-426

27 Pages Posted: 30 Mar 2022

See all articles by Jenifer Piesse

Jenifer Piesse

University of Stellbosch; King's College London - Department of Management

Bruce Allen Hearn

University of Southampton; University of Bradford - School of Management

Date Written: February 9, 2008

Abstract

This paper contrasts the performance of three time series models, a simple stochastic drift, GARCH, and a time varying parameter CAPM for four SADC equity markets in Namibia, Swaziland, Mozambique, plus South Africa. Analysis of the portfolio characteristics containing each reveals the level of integration from the optimised portfolio frontiers and the implications of the smaller states adopting a minimum investment retention levy. Namibia is found to exhibit the greatest degree of integration with South Africa, followed much further behind by Swaziland with Mozambique. The evidence suggests that investors in the smaller markets would face considerable additional costs should such a policy be adopted.

Keywords: South Africa; Eswatini; Namibia; Mozambique; Integrated financial markets

Suggested Citation

Piesse, Jenifer and Hearn, Bruce Allen, The Opportunities and Costs of Portfolio Diversification in Southern Africa’s Smallest Equity Markets (February 9, 2008). Hearn, B., & Piesse, J. (2008). The Costs and Opportunities for Portfolio Diversification in Southern Africa’s Smallest Equity Markets. South African Journal of Economics, 76(3): 399-426 , Available at SSRN: https://ssrn.com/abstract=4030696

Jenifer Piesse

University of Stellbosch

Stellenbosch, Western Cape
South Africa

King's College London - Department of Management ( email )

Virginia Woolf Building
22 Kingsway
London, England WC2B 6NR
United Kingdom

Bruce Allen Hearn (Contact Author)

University of Southampton ( email )

University Rd.
Southampton SO17 1BJ, Hampshire SO17 1LP
United Kingdom

University of Bradford - School of Management ( email )

Emm Lane
Bradford, West Yorkshire Bd9 4JL
United Kingdom

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