Bond Portfolio Allocations in South Africa Emerging Markets
Open Access
- 27 January 2016
- journal article
- Published by Center for Strategic Studies in Business and Finance SSBFNET in International Journal of Finance & Banking Studies (2147-4486)
- Vol. 5 (1), 73-80
- https://doi.org/10.20525/ijfbs.v5i1.343
Abstract
Over the past fifty years, economic growth in emerging markets has been supported by investments in capital and technology from the developed world. The benefit of this development for the emerging markets, as measured by growth in income, employment, and wealth, is immediately apparent. There have also been significant advantages for the developed world through opportunities for higher risk adjusted returns from investments in emerging markets. This study explores the benefits of the diversification of global government bond portfolio, and provides complete performance evaluations of DMs with or without South Africa emerging market (SAEM) bonds. The study examines the benefits of inclusion of SAEM bonds in DMs, the degrees of financial integration among the research markets, the relative bond returns of dynamic factor models with time-varying coefficients and the robust tests of bond portfolio performance between DMs with SAEM and bond index. The results of this study provide important implications for global investors by identifying diversification gains in SAEM. Keywords: African Bond Market, Portfolio DiversificationKeywords
This publication has 16 references indexed in Scilit:
- Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation.The Review of Financial Studies, 2001
- A multivariate latent factor decomposition of international bond yield spreadsJournal of Applied Econometrics, 2000
- Relating Global Bond Yields to Macroeconomic ForecastsThe Journal of Portfolio Management, 1997
- The Sharpe RatioThe Journal of Portfolio Management, 1994
- Common stochastic trends in international stock marketsJournal of Monetary Economics, 1992
- Business conditions and expected returns on stocks and bondsJournal of Financial Economics, 1989
- The Benefits of International Diversification in BondsCFA Magazine, 1988
- Co-Integration and Error Correction: Representation, Estimation, and TestingEconometrica, 1987
- A New Approach to Linear Filtering and Prediction ProblemsJournal of Basic Engineering, 1960
- PORTFOLIO SELECTION*The Journal of Finance, 1952