Posted by efrontierjournal on November 21, 2011 · Comments Off
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
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
