Comovement of Asset Returns Between Single and Dual Listed Firms Within a Single Stock Exchange

Edson Kambeu; Zakaria Chikaza

doi:doi:10.11648/j.jfa.20160405.13

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Comovement of Asset Returns Between Single and Dual Listed Firms Within a Single Stock Exchange

Edson Kambeu, Zakaria Chikaza

Published in Journal of Finance and Accounting (Volume 4, Issue 5)

Received: 22 May 2016 Accepted: 15 June 2016 Published: 31 August 2016

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Abstract

This study analyzed the comovement of asset returns between single and dual listed firms on the Botswana Stock Exchange (BSE) with ultimate aim being to determine if investors can realize diversification benefits by investing across single and dual listed firms in a single stock exchange. Using correlation coefficient and the β coefficients of two univariate regression models in which returns of single listed firms were regressed against the returns of dual listed firms and vice versa to determine the strength and direction of the comovement of the asset returns respectively, evidence of weak but positive comovement of the returns was found. Since diversification benefits can be only be realized if assets are both weakly and negatively correlated, we concluded that it is not possible to reap diversification benefits by investing across single and dual listed firms on the BSE. Although weak comovement implied that it may possible to reap diversification benefits by investing across single and dual listed firms, evidence of positive comovement negate the realization of such potential diversification benefits.

Published in	Journal of Finance and Accounting (Volume 4, Issue 5)
DOI	10.11648/j.jfa.20160405.13
Page(s)	262-270
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2016. Published by Science Publishing Group

Keywords

Comovement, Asset Returns, Dual Listed Firms, Single Listed Firms, Diversification Benefits

References

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APA Style

Edson Kambeu, Zakaria Chikaza. (2016). Comovement of Asset Returns Between Single and Dual Listed Firms Within a Single Stock Exchange. Journal of Finance and Accounting, 4(5), 262-270. https://doi.org/10.11648/j.jfa.20160405.13

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ACS Style

Edson Kambeu; Zakaria Chikaza. Comovement of Asset Returns Between Single and Dual Listed Firms Within a Single Stock Exchange. J. Finance Account. 2016, 4(5), 262-270. doi: 10.11648/j.jfa.20160405.13

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AMA Style

Edson Kambeu, Zakaria Chikaza. Comovement of Asset Returns Between Single and Dual Listed Firms Within a Single Stock Exchange. J Finance Account. 2016;4(5):262-270. doi: 10.11648/j.jfa.20160405.13

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@article{10.11648/j.jfa.20160405.13,
  author = {Edson Kambeu and Zakaria Chikaza},
  title = {Comovement of Asset Returns Between Single and Dual Listed Firms Within a Single Stock Exchange},
  journal = {Journal of Finance and Accounting},
  volume = {4},
  number = {5},
  pages = {262-270},
  doi = {10.11648/j.jfa.20160405.13},
  url = {https://doi.org/10.11648/j.jfa.20160405.13},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jfa.20160405.13},
  abstract = {This study analyzed the comovement of asset returns between single and dual listed firms on the Botswana Stock Exchange (BSE) with ultimate aim being to determine if investors can realize diversification benefits by investing across single and dual listed firms in a single stock exchange. Using correlation coefficient and the β coefficients of two univariate regression models in which returns of single listed firms were regressed against the returns of dual listed firms and vice versa to determine the strength and direction of the comovement of the asset returns respectively, evidence of weak but positive comovement of the returns was found. Since diversification benefits can be only be realized if assets are both weakly and negatively correlated, we concluded that it is not possible to reap diversification benefits by investing across single and dual listed firms on the BSE. Although weak comovement implied that it may possible to reap diversification benefits by investing across single and dual listed firms, evidence of positive comovement negate the realization of such potential diversification benefits.},
 year = {2016}
}

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TY  - JOUR
T1  - Comovement of Asset Returns Between Single and Dual Listed Firms Within a Single Stock Exchange
AU  - Edson Kambeu
AU  - Zakaria Chikaza
Y1  - 2016/08/31
PY  - 2016
N1  - https://doi.org/10.11648/j.jfa.20160405.13
DO  - 10.11648/j.jfa.20160405.13
T2  - Journal of Finance and Accounting
JF  - Journal of Finance and Accounting
JO  - Journal of Finance and Accounting
SP  - 262
EP  - 270
PB  - Science Publishing Group
SN  - 2330-7323
UR  - https://doi.org/10.11648/j.jfa.20160405.13
AB  - This study analyzed the comovement of asset returns between single and dual listed firms on the Botswana Stock Exchange (BSE) with ultimate aim being to determine if investors can realize diversification benefits by investing across single and dual listed firms in a single stock exchange. Using correlation coefficient and the β coefficients of two univariate regression models in which returns of single listed firms were regressed against the returns of dual listed firms and vice versa to determine the strength and direction of the comovement of the asset returns respectively, evidence of weak but positive comovement of the returns was found. Since diversification benefits can be only be realized if assets are both weakly and negatively correlated, we concluded that it is not possible to reap diversification benefits by investing across single and dual listed firms on the BSE. Although weak comovement implied that it may possible to reap diversification benefits by investing across single and dual listed firms, evidence of positive comovement negate the realization of such potential diversification benefits.
VL  - 4
IS  - 5
ER  -

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Author Information

Edson Kambeu

Business Management Department, BA ISAGO University, Francistown, Botswana
Zakaria Chikaza

Department of Finance, National University of Science and Technology, Bulawayo, Zimbabwe

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Plain Text BibTeX RIS

APA Style

Edson Kambeu, Zakaria Chikaza. (2016). Comovement of Asset Returns Between Single and Dual Listed Firms Within a Single Stock Exchange. Journal of Finance and Accounting, 4(5), 262-270. https://doi.org/10.11648/j.jfa.20160405.13

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ACS Style

Edson Kambeu; Zakaria Chikaza. Comovement of Asset Returns Between Single and Dual Listed Firms Within a Single Stock Exchange. J. Finance Account. 2016, 4(5), 262-270. doi: 10.11648/j.jfa.20160405.13

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AMA Style

Edson Kambeu, Zakaria Chikaza. Comovement of Asset Returns Between Single and Dual Listed Firms Within a Single Stock Exchange. J Finance Account. 2016;4(5):262-270. doi: 10.11648/j.jfa.20160405.13

Copy | Download

@article{10.11648/j.jfa.20160405.13,
  author = {Edson Kambeu and Zakaria Chikaza},
  title = {Comovement of Asset Returns Between Single and Dual Listed Firms Within a Single Stock Exchange},
  journal = {Journal of Finance and Accounting},
  volume = {4},
  number = {5},
  pages = {262-270},
  doi = {10.11648/j.jfa.20160405.13},
  url = {https://doi.org/10.11648/j.jfa.20160405.13},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jfa.20160405.13},
  abstract = {This study analyzed the comovement of asset returns between single and dual listed firms on the Botswana Stock Exchange (BSE) with ultimate aim being to determine if investors can realize diversification benefits by investing across single and dual listed firms in a single stock exchange. Using correlation coefficient and the β coefficients of two univariate regression models in which returns of single listed firms were regressed against the returns of dual listed firms and vice versa to determine the strength and direction of the comovement of the asset returns respectively, evidence of weak but positive comovement of the returns was found. Since diversification benefits can be only be realized if assets are both weakly and negatively correlated, we concluded that it is not possible to reap diversification benefits by investing across single and dual listed firms on the BSE. Although weak comovement implied that it may possible to reap diversification benefits by investing across single and dual listed firms, evidence of positive comovement negate the realization of such potential diversification benefits.},
 year = {2016}
}

Copy | Download

TY  - JOUR
T1  - Comovement of Asset Returns Between Single and Dual Listed Firms Within a Single Stock Exchange
AU  - Edson Kambeu
AU  - Zakaria Chikaza
Y1  - 2016/08/31
PY  - 2016
N1  - https://doi.org/10.11648/j.jfa.20160405.13
DO  - 10.11648/j.jfa.20160405.13
T2  - Journal of Finance and Accounting
JF  - Journal of Finance and Accounting
JO  - Journal of Finance and Accounting
SP  - 262
EP  - 270
PB  - Science Publishing Group
SN  - 2330-7323
UR  - https://doi.org/10.11648/j.jfa.20160405.13
AB  - This study analyzed the comovement of asset returns between single and dual listed firms on the Botswana Stock Exchange (BSE) with ultimate aim being to determine if investors can realize diversification benefits by investing across single and dual listed firms in a single stock exchange. Using correlation coefficient and the β coefficients of two univariate regression models in which returns of single listed firms were regressed against the returns of dual listed firms and vice versa to determine the strength and direction of the comovement of the asset returns respectively, evidence of weak but positive comovement of the returns was found. Since diversification benefits can be only be realized if assets are both weakly and negatively correlated, we concluded that it is not possible to reap diversification benefits by investing across single and dual listed firms on the BSE. Although weak comovement implied that it may possible to reap diversification benefits by investing across single and dual listed firms, evidence of positive comovement negate the realization of such potential diversification benefits.
VL  - 4
IS  - 5
ER  -

Copy | Download