Posted by efrontierjournal on August 10, 2012 · Comments Off
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
Posted by efrontierjournal on February 16, 2012 · Comments Off
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
Filed under E. Portfolio Construction, F. Risk Management · Tagged with Colombia, Ecuador, Estonia, Jordan, Kenya, Lithuania, Nigeria, Pakistan, Romania, Sri Lanka
Posted by efrontierjournal on November 16, 2011 · Comments Off
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
Filed under E. Portfolio Construction, F. Risk Management · Tagged with Argentina, Bahrain, Botswana, Bulgaria, Croatia, Estonia, Ghana, Jamaica, Jordan, Kenya, Kuwait, Lebanon, Mauritius, Nigeria, Oman, Pakistan, Romania, Saudi Arabia, Slovenia, Sri Lanka, Trinidad & Tobago, Tunisia, UAE, Ukraine
Posted by efrontierjournal on November 16, 2011 · Comments Off
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
Filed under B. Country Analysis, F. Risk Management · Tagged with Argentina, Bahrain, Bulgaria, Croatia, Estonia, Jordan, Kazakhstan, Kenya, Kuwait, Lebanon, Mauritius, Nigeria, Oman, Pakistan, Qatar, Romania, Slovenia, Sri Lanka, Tunisia, UAE
Posted by efrontierjournal on November 11, 2011 · Comments Off
Authors: Clifford Quisenberry Jr., CFA Benjamin Griffith, CFA Submission Date: 02/28/2011 Abstract: In many ways, the frontier emerging equity markets look similar to the way the emerging markets did 20 years ago. Rapid economic growth and elevated risk premiums provide opportunities for attractive long-run returns, and diversifiable country risks allow for relatively low portfolio level … Read more
Filed under A. Introductions · Tagged with Argentina, Armenia, Azerbaijan, Bahrain, Bangladesh, Barbados, Belarus, Bolivia, Bosnia & Herzegovina, Bulgaria, Cameroon, Cape Verde, Colombia, Costa Rica, Cote d'Ivoire, Croatia, Eastern Caribbean, Ecuador, El Salvador, Estonia, Fiji, Georgia, Ghana, Guyana, Iraq, Jamaica, Jordan, Kenya, Kuwait, Kyrgyz Republic, Latvia, Lebanon, Libya, Lithuania, Macedonia, Malawi, Maldives, Malta, Mauritius, Moldova, Mongolia, Montenegro, Mozambique, Namibia, Nepal, Niger, Nigeria, Oman, Pakistan, Palestine, Panama, Papua New Guinea, Qatar, Republika Srpske, Romania, Saudi Arabia, Serbia, Slovakia, Slovenia, Sri Lanka, Sudan, Swaziland, Syria, Tanzania, Trinidad & Tobago, Tunisia, UAE, Uganda, Ukraine, Uruguay, Uzbekistan, Venezuela, Vietnam, Zambia, Zimbabwe
