Cointegration of Stock Prices and Domestic Portfolio Diversification Opportunities: Evidence from the Ghana Stock Exchange

Autor:	Edward Quansah, George Amfo-Antiri
Rok vydání:	2017
Předmět:	Cointegration Financial economics Stock exchange Portfolio insurance Immunology Diversification (finance) Equity (finance) Economics Restricted stock Market maker Stock (geology)
Zdroj:	Applied Economics and Finance. 4:78
ISSN:	2332-7308 2332-7294
DOI:	10.11114/aef.v4i5.2475
Popis:	This paper employed Engle-Granger test of cointegration and the Bound Test to explore potential domestic portfolio diversification opportunities that are available for individual investors, institutional and other portfolio managers from constructing domestic portfolios. Daily stock prices for the period 1st August, 2011 to July 29th, 2016 have been employed as well as monthly stock return from the Ghana Stock exchange. The result from the cointegration analysis indicated that most equity stocks listed on the Ghana Stock Exchange are not cointegrated with each other in the long run. In addition, majority of the stock returns are statistically insensitive to the GSE– Composite index during the period under consideration. The empirical evidence indicates that domestic investors can benefit from constructing portfolios that consist of equities from the financial sector and other non-financial sectors which are not cointegrated.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::93b0eb6794412f0b18faff266ce1e24a https://doi.org/10.11114/aef.v4i5.2475 Zobrazit plný text záznamu