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by Vasileios Kallinterakis, Greg N. Gregoriou, Panagiotis Andrikopoulos
Handbook of Frontier Markets
Cover
Title page
Table of Contents
Copyright
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?
Abstract
1. Introduction
2. The Empirical Model
3. Data and Findings
4. Conclusions
Chapter 2: An Application of Style Analysis to Middle East and North African (MENA) Hedge Funds
Abstract
1. Introduction
2. Literature Review
3. Data
4. Methodology
5. Results
6. Conclusions
Acknowledgments
Appendix: Style Indexes
Chapter 3: Stock Prices and Crude Oil Shocks: The Case of GCC Countries
Abstract
1. Introduction
2. The Model
3. Empirical Analysis
4. Conclusions
Chapter 4: Signaling and Lifecycle Theories in the Banking Sectors of GCC Frontier Markets: An Empirical Assessment
Abstract
1. Introduction
2. Literature Review
3. Methodology: Event Study and the Market Model
4. Empirical Results and Analysis
5. Conclusions
Section B: Risk and Diversification
Chapter 5: Are Frontier Markets Worth the Risk?
Abstract
1. Introduction
2. Literature Review
3. Data Set
4. Methodology
5. Empirical Results
6. Summary and Conclusions
Chapter 6: Nuances of Investing in Frontier Equity Markets
Abstract
1. The Frontier Market Paradigm
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
Chapter 7: Measuring Market Risk in the Light of Basel III: New Evidence From Frontier Markets
Abstract
1. Introduction
2. Literature Review
3. Value at Risk and the Capital Requirement for Market Risks
4. The Results of the Empirical Analysis
5. Conclusions
Acknowledgment
Chapter 8: Investing on the Edge: Exploring the Opportunities for Diversification in Frontier Markets
Abstract
1. Introduction
2. Selective Review of the Literature
3. Data
4. Empirical Analysis
5. Concluding Remarks
Appendix
Chapter 9: The Portfolio Diversification Benefits of Frontier Markets: An Investigation Into Regional Effects
Abstract
1. Introduction and Literature
2. Frontier Markets and Their Regional Differences
3. Data and Descriptive Statistics
4. Methodology
5. Results and Discussion
6. Conclusions
Chapter 10: Stock Index Return Predictability in Frontier Markets: Is It There?
Abstract
1. Introduction
2. Data Description
3. Empirical Methodology
4. In-Sample Return Predictability
5. Out-of-Sample Stock Return Forecasts
6. Economic Significance of Stock Return Forecasts
7. Country Characteristics and Forecast Performance
8. Conclusions
Appendix: Data Definitions
Section C: Comparative Studies
Chapter 11: Impact of US Federal Reserve Policies on Frontier Markets
Abstract
1. Introduction
2. MSCI Indices on Frontier Markets
3. Spillover Effect Testing in GARCH in Mean Framework and Granger Causality
4. Concluding Remarks
Chapter 12: Is Quality Investing Feasible in Frontier Markets Based on Publicly Available Financial Information?
Abstract
1. Introduction
2. Data and Methodology
3. Results
4. Conclusions and Further Research
Acknowledgments
Appendix
Chapter 13: Frontier Market Investing: What’s the Value Add?
Abstract
1. Introduction
2. Literature Review
3. Data and Methodology
4. Frontier Markets—Univariate Regime Switching Application
5. Conclusions
Appendix
Chapter 14: Empirical Assessment of the Finance–Growth Nexus in Frontier Markets
Abstract
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
5. Empirical Results
6. Conclusions
Appendix
Chapter 15: Mergers and Acquisitions in Frontier Markets: A Comparative Analysis
Abstract
1. Introduction
2. Data and Methodology
3. Empirical Results
4. Conclusions
Chapter 16: Impact of Remittances on Frontier Markets’ Exchange Rate Stability
Abstract
1. Introduction
2. Model and Methodology
3. Data and Results
4. Conclusions
Acknowledgments
Index
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