Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter
Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter
}
TY - CHAP
T1 - Investing on the Edge
T2 - exploring the Opportunities for Diversification in Frontier Markets
AU - Spiru, Alina Maria
AU - Qin, Zhu
PY - 2016/8/2
Y1 - 2016/8/2
N2 - The increase in the degree of integration of emerging stock markets with the mature markets together with rising correlations among asset classes have posed new challenges to investors in their quest for diversification opportunities. Frontier markets have risen up to the challenge, opening avenues for greater diversification benefits compared to their emerging counterparts. This study attempts to shed light on how the characteristics of frontier markets can enable investors to reap greater benefits from portfolio diversification. To this end, we examine the extent of integration of fifteen Central and Eastern European (CEE) and Middle Eastern and North African (MENA) frontier markets, both with mature markets and within their own group, over the period from Dec. 2005 to May 2015. For this purpose, we employ correlation and cointegration techniques to assess both short- and long-run comovements. The results suggest a greater degree of integration at the regional level. At the global level, the selected CEE frontier markets are more closely linked with their developed counterparts than the MENA frontier markets considered, suggesting that the MENA markets may have greater potential for diversification gains.
AB - The increase in the degree of integration of emerging stock markets with the mature markets together with rising correlations among asset classes have posed new challenges to investors in their quest for diversification opportunities. Frontier markets have risen up to the challenge, opening avenues for greater diversification benefits compared to their emerging counterparts. This study attempts to shed light on how the characteristics of frontier markets can enable investors to reap greater benefits from portfolio diversification. To this end, we examine the extent of integration of fifteen Central and Eastern European (CEE) and Middle Eastern and North African (MENA) frontier markets, both with mature markets and within their own group, over the period from Dec. 2005 to May 2015. For this purpose, we employ correlation and cointegration techniques to assess both short- and long-run comovements. The results suggest a greater degree of integration at the regional level. At the global level, the selected CEE frontier markets are more closely linked with their developed counterparts than the MENA frontier markets considered, suggesting that the MENA markets may have greater potential for diversification gains.
UR - https://www.sciencedirect.com/book/9780128092002/handbook-of-frontier-markets
M3 - Chapter
SN - 9780128092002
SP - 123
EP - 162
BT - Handbook of Frontier Markets
A2 - Andrikopoulos, Panagiotis
A2 - Gregoriou, Greg
A2 - Kallinterakis, Vasileios
PB - Elsevier
CY - London
ER -