Is the Diversification Benefit of Frontier Markets Realizable by Mean-Variance Investors? The Evidence of Investable Funds
Authors: Dave Berger Kuntara Pukthuanthong J. Jimmy Yang Date: August 29th, 2012 Abstract: The authors investigate whether the diversification benefits of frontier markets may be realized by mean-variance investors utilizing investable ETFs and mutual funds. The authors studied investable funds beginning in the period of September 2007, and ending October 2011, a period which was … Read more
Can Advanced Markets Help Diversify Risks in Frontier Stock Markets?
Author: Riza Demirer Date: May 2012 Abstract: This study analyzes the benefits of portfolio diversification in the frontier GCC countries, including Saudi Arabia, Kuwait, and the UAE. A strong link was evidenced between market volatility and the dispersion of returns within each equity market. It is further shown that more effective risk reduction can be achieved by … Read more
Investor Herds and Regime-Switching: Evidence from Gulf Arab Stock Markets
Authors: Mehmet Balcilar Riza Demirer Shawkat Hammoudeh Date: September 17th, 2012 Abstract: The authors propose a dynamic herding approach which takes into account herding under differing volatility regimes in the GCC country stock markets. The results support the presence of three regimes: low, high, and extreme. The results also evidence the existence of significant herding … Read more
Frontier Markets Join the Allocation Conversation
Authors: Sarah Orzell, Associate Research Analyst with Russell Investments Date: October 2010 Abstract: Interest in the frontier markets has been increasing as investors seek diversification beyond the developed and emerging markets. While the frontier markets are generally considered more risky than other market categories, the volatility of the Russell Frontier Index has declined post-2009, and … Read more
Co-Movements between Developed Stock Markets and the Frontier Stock Markets of Africa
Authors: Kamandra Morara Date: March 1st, 2011 Abstract: This study provides evidence that Frontier African stock markets have a lower degree of correlation with Developed Markets than do the larger Emerging Markets. The volatility of individual market returns was found to be lower in the Frontier African markets than in the Emerging Markets category. In … Read more
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
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
