Handbook of Frontier Markets

Evidence from Middle East North Africa and International Comparative Studies
 
 
Academic Press
  • 1. Auflage
  • |
  • erschienen am 5. August 2016
  • |
  • 428 Seiten
 
E-Book | ePUB mit Adobe DRM | Systemvoraussetzungen
E-Book | PDF mit Adobe DRM | Systemvoraussetzungen
978-0-12-809491-4 (ISBN)
 

Handbook of Frontier Markets: Evidence from Asia and International Comparative Studies provides novel insights from academic perspectives about the behavior of investors and prices in several frontier markets. It explores finance issues usually reserved for developed and emerging markets in order to gauge whether these issues are relevant and how they manifest themselves in frontier markets.

Frontier markets have now become a popular investment class among institutional investors internationally, with major financial services providers establishing index-benchmarks for this market-category. The anticipation for frontier markets is optimistic uncertainty, and many people believe that, given their growth rates, these markets will be economic success stories. Irrespective of their degrees of success, The Handbook of Frontier Markets can help ensure that the increasing international investment diverted to them will aid in their greater integration within the global financial system.


  • Presents topics in the contexts of frontier markets and uses tests based on established methodologies from finance research
  • Features contributing authors who are established university academics
  • Emphasizes financial institutions and applications of financial risk models
  • Explores finance issues usually reserved for developed and emerging markets in order to gauge whether these issues are relevant and how they manifest themselves in frontier markets
  • Englisch
  • San Diego
  • |
  • USA
Elsevier Science
  • 15,55 MB
978-0-12-809491-4 (9780128094914)
0128094915 (0128094915)
weitere Ausgaben werden ermittelt
  • Cover
  • Title Page
  • Copyright Page
  • Contents
  • List of Contributors
  • About the Editors
  • About the Contributors
  • Acknowledgment
  • Section A - Middle East North Africa (MENA)-Gulf Cooperation Council (GCC)
  • Chapter 1 - Herding in Middle Eastern Frontier Markets: Are Local and Global Factors Important?
  • 1 - Introduction
  • 2 - The Empirical Model
  • 3 - Data and Findings
  • 4 - Conclusions
  • References
  • Chapter 2 - An Application of Style Analysis to Middle East and North African (MENA) Hedge Funds
  • 1 - Introduction
  • 2 - Literature Review
  • 3 - Data
  • 4 - Methodology
  • 5 - Results
  • 6 - Conclusions
  • Acknowledgments
  • References
  • Appendix: Style Indexes
  • Chapter 3 - Stock Prices and Crude Oil Shocks: The Case of GCC Countries
  • 1 - Introduction
  • 2 - The Model
  • 3 - Empirical Analysis
  • 3.1 - Data and Hypotheses Tested
  • 3.2 - Discussion of the Results
  • 4 - Conclusions
  • References
  • Chapter 4 - Signaling and Lifecycle Theories in the Banking Sectors of GCC Frontier Markets: An Empirical Assessment
  • 1 - Introduction
  • 2 - Literature Review
  • 2.1 - Theories of Dividend Policy
  • 2.2 - Empirical Studies
  • 3 - Methodology: Event Study and the Market Model
  • 3.1 - Data Collection and Sample of Study
  • 3.2 - Regression, Variables, and Hypotheses
  • 4 - Empirical Results and Analysis
  • 4.1 - Descriptive Analysis
  • 4.2 - The Results of the Event Study
  • 4.3 - Lifecycle Theory and Regression Analysis
  • 5 - Conclusions
  • References
  • Section B - Risk and Diversification
  • Chapter 5 - Are Frontier Markets Worth the?Risk?
  • 1 - Introduction
  • 2 - Literature Review
  • 3 - Data Set
  • 4 - Methodology
  • 4.1 - Long Memory
  • 4.2 - The ARFIMA-FIGARCH Model
  • 5 - Empirical Results
  • 6 - Summary and Conclusions
  • References
  • Chapter 6 - Nuances of Investing in Frontier Equity Markets
  • 1 - The Frontier Market Paradigm
  • 1.1 - Rising Stars
  • 1.2 - Microcaps
  • 1.3 - Fallen Angels
  • 2 - Frontier Market Performance
  • 3 - Macro Framework
  • 4 - A Better Measure of Frontier Market Returns
  • 5 - Individual Countries Versus Baskets
  • 6 - Liquidity Pools
  • 7 - Conclusions
  • References
  • Chapter 7 - Measuring Market Risk in the Light of Basel III: New Evidence From Frontier Markets
  • 1 - Introduction
  • 2 - Literature Review
  • 3 - Value at Risk and the Capital Requirement for Market Risks
  • 3.1 - Defining Value at Risk
  • 3.2 - VaR Estimation in the Banking Regulation
  • 3.3 - The Estimation Models
  • 3.3.1 - Historical Simulation Models
  • 3.3.2 - Parametric Models
  • 3.3.3 - GARCH Models
  • 3.3.4 - EWMA Models
  • 3.3.5 - TGARCH Models
  • 3.4 - The Opportunity Cost of Regulation
  • 4 - The Results of the Empirical Analysis
  • 4.1 - Investment Opportunity in Frontier Markets
  • 4.2 - The Capital Requirement and VaR Models within the Context of Frontier Markets
  • 4.3 - The Effects of Stressed VaR in Capital Requirements for Market Risk in Frontier Markets
  • 5 - Conclusions
  • Acknowledgment
  • References
  • Chapter 8 - Investing on the Edge: Exploring the Opportunities for Diversification in Frontier Markets
  • 1 - Introduction
  • 2 - Selective Review of the Literature
  • 3 - Data
  • 4 - Empirical Analysis
  • 4.1 - Correlation Analysis
  • 4.2 - Cointegration Analysis
  • 4.2.1 - The Johansen Cointegration Test
  • 4.3 - Granger Causality Tests
  • 5 - Concluding Remarks
  • References
  • Appendix
  • A1. Market Capitalization and Growth Patterns of the Frontier Markets Examined
  • A2. Graphs of the Stock Indexes
  • A2. Graphs of the Weekly Returns Series
  • Chapter 9 - The Portfolio Diversification Benefits of Frontier Markets: An Investigation Into Regional Effects
  • 1 - Introduction and Literature
  • 2 - Frontier Markets and Their Regional Differences
  • 3 - Data and Descriptive Statistics
  • 3.1 - Regional Differences
  • 3.2 - Subperiods Within the Data
  • 3.3 - Nonnormality in the Returns
  • 4 - Methodology
  • 4.1 - Measuring Risk and Return
  • 4.2 - Measuring Time-Varying Correlations
  • 5 - Results and Discussion
  • 5.1 - The Risk and Return Relationship
  • 5.2 - Value at Risk
  • 5.3 - Sharpe and Modified Sharpe Ratios
  • 5.4 - Correlation
  • 5.5 - Is Correlation a Good Proxy of Diversification Benefits?
  • 6 - Conclusions
  • References
  • Chapter 10 - Stock Index Return Predictability in Frontier Markets: Is It There?
  • 1 - Introduction
  • 2 - Data Description
  • 3 - Empirical Methodologye
  • 3.1 - Predictive Regressions and Individual Forecasts
  • 3.2 - Forecast Evaluation and Application
  • 4 - In-Sample Return Predictability
  • 5 - Out-of-Sample Stock Return Forecasts
  • 5.1 - OOS Forecast Accuracy
  • 6 - Economic Significance of Stock Return Forecasts
  • 6.1 - Utility Gains
  • 6.2 - Manipulation Proof Utility Gains
  • 7 - Country Characteristics and Forecast Performance
  • 8 - Conclusions
  • References
  • Appendix: Data Definitions
  • Section C - Comparative Studies
  • Chapter 11 - Impact of US Federal Reserve Policies on Frontier Markets
  • 1 - Introduction
  • 1.1 - Global Financial Crisis
  • 1.2 - Review of Fed Policies
  • 2 - MSCI Indices on Frontier Markets
  • 3 - Spillover Effect Testing in GARCH in Mean Framework and Granger Causality
  • 4 - Concluding Remarks
  • References
  • Chapter 12 - Is Quality Investing Feasible in Frontier Markets Based on Publicly Available Financial Information?
  • 1 - Introduction
  • 2 - Data and Methodology
  • 2.1 - Data
  • 2.2 - Quality Variables
  • 2.3 - Methodology
  • 2.4 - Cleaning the Data
  • 3 - Results
  • 3.1 - Portfolio Results Based on Weighted Average Values of Financial Ratios
  • 3.2 - Portfolio Results Based on Median Values of Financial Ratios
  • 3.3 - Portfolio Results Based on the Gross-Profit-to-Assets
  • 4 - Conclusions and Further Research
  • Acknowledgments
  • References
  • Appendix
  • Chapter 13 - Frontier Market Investing: What's the Value Add?
  • 1 - Introduction
  • 2 - Literature Review
  • 2.1 - International Markets
  • 2.2 - Frontier Markets
  • 2.3 - BRICs' Lessons for Frontier Market Investing
  • 2.4 - Economic Evidence
  • 2.5 - Further Evidence
  • 2.5.1 - Technological Development
  • 2.5.2 - Energy Development
  • 2.5.3 - Health Development
  • 3 - Data and Methodology
  • 3.1 - Descriptive Statistics
  • 3.2 - Normality-Do Markets Behave "Normally"?
  • 3.3 - Correlation-Frontier Markets and Diversification
  • 3.4 - The Power of Diversification: Does Correlation Matter?
  • 3.5 - Correlation Extension-True Exposure
  • 3.6 - Frontier Markets and Regime Switching Model
  • 3.6.1 - Generalization-Univariate Regime Switching
  • 3.6.2 - Hidden Regime Switching-Markov Chain
  • 3.6.3 - Normality-Regime Switching Distribution
  • 3.6.4 - Generalization-Multivariate Regime Switching
  • 3.6.5 - Additional Evidence of Nonnormality
  • 3.6.5.1 - Correlation-Multivariate Regime Switching
  • 3.6.5.2 - Number of Regimes
  • 4 - Frontier Markets-Univariate Regime Switching Application
  • 4.1 - The Importance of Asset Allocation
  • 4.2 - Generalization-Investor Optimization Problem
  • 4.3 - Portfolio Framework
  • 4.4 - Results
  • 5 - Conclusions
  • References
  • Appendix
  • A.1 - Multivariate Regime Switching Model Fit
  • A.2 - Reliability of Regime Switching Models
  • Chapter 14 - Empirical Assessment of the Finance-Growth Nexus in Frontier Markets
  • 1 - Introduction
  • 2 - Review of the Theoretical and Empirical Literature on the Finance and Growth Relationship Involving Banks and Stock Markets
  • 3 - Empirical Literature on Frontier Markets
  • 4 - Model and Variables
  • 4.1 - Measuring Banking Sector Development on Economic Growth
  • 4.2 - Measuring Stock Market Development on Economic Growth
  • 4.3 - Instrumental Variables
  • 5 - Empirical Results
  • 6 - Conclusions
  • References
  • Appendix
  • Chapter 15 - Mergers and Acquisitions in Frontier Markets: A Comparative Analysis
  • 1 - Introduction
  • 2 - Data and Methodology
  • 2.1 - Sample
  • 2.2 - Methodology
  • 3 - Empirical Results
  • 3.1 - Trend of M&A in Frontier Markets
  • 3.2 - Acquirer Performance
  • 3.3 - Target Firm Performance
  • 4 - Conclusions
  • References
  • Chapter 16 - Impact of Remittances on Frontier Markets' Exchange Rate Stability
  • 1 - Introduction
  • 2 - Model and Methodology
  • 3 - Data and Results
  • 3.1 - Africa and Middle East
  • 3.2 - Asia
  • 3.3 - Eastern Europe
  • 3.4 - Latin America
  • 3.5 - High Remittance Receiving Frontier Countries
  • 4 - Conclusions
  • Acknowledgments
  • References
  • Index
  • Back cover

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