Frontier Markets: Punching Below their Weight? A Risk Parity Perspective on Asset Allocation
Author: Jorge A. Chan-Lau Submission Date: December 2011 Abstract: From a risk parity perspective, investors could benefit from a frontier markets allocation well in excess of the market weight of the asset class. Frontier equity markets exhibit low correlations to other equity markets, including emerging markets, which could help diversify global equity portfolios. An asset … Read more
Looking at New Markets for International Diversification: Frontier Markets Perspective
Authors: Rakesh Gupta, Thadavillil Jithendranathan Aswini Sukumaran Submission Date: August 20th, 2011 Abstract: This article examines the diversification benefits of the frontier markets from the perspective of an Australian investor with an international portfolio. The authors estimate the potential gains for an Australian investor investing in the frontier markets utilizing an Asymmetric Dynamic Conditional Correlation … Read more
Investing in Frontier Conflict Countries
Author: Benjamin Griffith, CFA Submission Date: 11/2/2010 Abstract: In the last ten years, all ten instances of war in countries with stock markets have occurred within the borders of countries whose markets are classified as frontier by the major index providers. In-country military conflicts tend to impact stock market performance in predictable ways, which active managers could theoretically use … Read more
Frontier Markets: Overlooked Opportunity?
Authors: CTC Consulting Traditional Research Team Submission Date: May 2011 Abstract: This paper examines the risks and opportunities available to frontier emerging market investors, and concludes that the frontier markets appear to be an attractive segment. The frontier markets offer attractive relative valuations, diversification benefits from low cross-country correlations, strong economic growth, and the potential … Read more
International Diversification with Frontier Markets
Authors: Dave Berger Kuntara Pukthuanthong J. Jimmy Yang Submission Date: November 7th, 2011 Abstract: The authors provide an analysis of frontier emerging market equities with respect to world market integration and diversification. Principal component results reveal that frontier markets exhibit low levels of integration. In contrast with developed and emerging markets, frontier markets offer no … Read more
Time-Varying Financial Spillovers from the US to Frontier Markets
Authors: Galin Todorov Prasad V. Bidarkota Submission Date: May 5th, 2011 Abstract: The article investigates US stock index return and volatility spillover effects on the mean returns and volatility of 21 frontier country stock indices. The authors employed a time-varying parameter model to account for time-variation in the spillover effect for each individual frontier country. … Read more
Time-Varying Risk and Risk Premiums in Frontier Markets
Authors: Galin Todorov Prasad V. Bidarkota Submission Date: October 14, 2011 Abstract: The article studies the risk-return relationship in twenty frontier markets using an international ICAPM, and capturing time-varying correlations utilizing the Dynamic Conditional Correlations (DCC) model of Engle (2002). Results from estimation of the DCC model indicate modest average conditional correlations, suggestive of … Read more
Value and Momentum in Frontier Emerging Markets
Authors: Wilma de Groot Juan Pang Laurens A.P. Swinkels Submission Date: September 14, 2010 Abstract: The article documents the presence of economically and statistically significant value and momentum effects in the new emerging equity markets in the world, the so-called frontier emerging markets. The results serve as out-of-sample evidence for the existence of value and momentum effects … Read more
Risks on the Frontier of Investing
Authors: Clifford Quisenberry, Jr., CFA Benjamin Griffith, CFA Submission Date: 9/30/2009 Abstract: How volatile have the frontier markets been historically? Individual frontier equity markets have tended to be about as volatile as the larger emerging markets. Because the frontier markets’ have lower correlations to each other, this diversification power can translate into lower volatility in … Read more
