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
From Frontier to Emerging: Does Market Reclassification Matter?
Authors: Dr. Nasser Saidi at DIFC Economics Aathira Prasad Vineeth Naik Date: January 2012 Abstract: This paper discusses the possibility of the reclassification of certain frontier markets to emerging market status by the main index providers. In addition, the paper assesses historical index upgrades to emerging market classification and concludes that, in some cases, index … 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
