Index
A
multivariate regression analysis, 354
targets’ development country classification, 355
Acquirers’ development country classification, 349
Acquirers’ gains, 342
Acquire target firms, 341
Acquisitions
announcement, 350
by country development group, 347
per year, histograms of, 348
Adaptive asset allocation (AAA), 271
Africa
GDP, GDP growth, GDP per capita, unemployment, and population living below the poverty line, 366
institutional quality index, 365
remittances and real effective exchange rates, 370
remittances impact on frontier markets’ exchange rate stability, 369–372
Africa’s frontier markets, 70
long memory in returns, 70
long run persistence of stock return volatility, 70
predictability in daily returns, 70
Alternative investment markets, 222
American International Group (AIG), 272
Annual return, 81
ARFIMA-FIGARCH models, 68
Argentina, 20
economic weakening, MSCI report, 20
M&A in frontier markets, 343
negative growth rates, 364
Asia
Asian countries
remittances and real effective exchange rates, 374
Asian emerging markets, 5
GDP, GDP growth, GDP per capita, unemployment, and population living below the poverty line, 366
institutional quality index, 365
remittances impact on frontier markets’ exchange rate stability, 372–375
Asian markets, 225
optimization, 273
Asymmetric correlation, 271
Asymmetric information, 6
Athens stock market, 52
Austrian Stock Exchange, 52
Autoregressions, 127
Autoregressive (AR), 296
and stationarity test results, 236
Autoregressive moving average (ARMA), 296
Average portfolio returns, 255
B
Bahrain, 4
driving forces for sentimental herding, 10
Baltic stock exchanges, 70
Bangladesh
early-stage markets, 290
GDP growth, 364
GDP per capita levels of, 221
infant mortality, 281
Banking credit, 322
too much banking credit, 322
Banking sectors of GCC frontier markets, 50
empirical results and analysis, 56
CAARs and signaling theory, 58
descriptive analysis, 56
lifecycle theory, 59–61
and regression analysis, 60
results of the event study, 57
empirical studies, 52–53
implications of findings, 61
methodology
data collection and sample of study, 54
event study and the market model, 53–54
abnormal return calculation, 54
calculating CAAR, 54
expression for daily returns, 54
standard CAAR test, 54
regression, variables, and hypotheses, 55–56
variables defined, 55
signaling and lifecycle theories in, 49
Bankruptcy, 225
Barclay database, 23
Barclay Hedge database, 23
Basel Committee on Banking Supervision (BCBS), 99
Basel II Accord, See also VaR analysis
Basel III accord, See also VaR analysis
Beijing-Moscow trade axis, 270
BEKK-GARCH model
conditional density function, 36
conditional variance-covariance matrix, 36
log-likelihood function, 36
significant volatility spillover running from oil to stock markets, 35
volatility interactions among GCC stock markets and, 34
BEKK parameterization, 233
Beta coefficients, 4
Beta estimates, 10
Beta values of the stocks, 7
Bid-ask, 228
Bidder abnormal returns, 344
BidderDeveloped-TargetFrontier, 352
BidderEmerging-TargetFrontier, 352
BidderFrontierDummy, 352
BidderFrontier-TargetFrontier, 352
BidderUSUKCAN-TargetFrontier, 352
BIST 30, 6
Bivariate VAR-GARCH framework, 36
specification, 36
Book-market ratio (log) (BM), 196
Borrowers found, 223
Bourse Régionale des Valeurs Mobiliéres SA (BRVM), 325
Box-and-whisker diagram, 286
Brazil
growth rate, 277
M&A in frontier markets, 343
BRIC economic outlook, 278
“Bull” markets, 298
Business cycles, 271
evidence, 305
C
Canada, M&A in frontier markets, 346
Capital allocation line (CAL), 290
variations, 228
Capital flows, 363
Capital gains in GCC countries, 50
Capital inflows
types of, 361
varies across countries, 375
Capital markets, 49
Capital requirements, 100
for market risks, 102
value at risk, See Value at risk (VaR) analysis
Central and Eastern Europe (CEE) frontier markets, 125
cointegration ranks, 144
correlation coefficients between the weekly returns of CEE frontier and mature markets, 134
correlations frontier markets and the mature markets, ranging from, 135
highest correlation with Germany, 135
degree of integration of markets, 152
descriptive statistics for the returns of selected frontier and mature markets, 131
GDP growth rate, 126
Granger causality tests for the group
CEE-Germany, results, 148
CEE-UK, results, 147
CEE-US, results, 145
impact of the financial crisis, 131
Johansen’s test for multivariate cointegration among CEE frontier markets, 140
Germany, 141
UK, 141
US, 140
linkages between emerging markets and mature market, 128
located time zones, 134
low correlations and G7 developed markets, 127
partial integration, of frontier stock markets, 128
remarkable feature of frontier markets, 129
stock indexes, 159
volatile of the CEE frontier markets, Slovenia, 133
weekly returns series, 161
China
economic outlook, 277
GDP, GDP growth, GDP per capita, unemployment, and population living below the poverty line, 366
M&A in frontier markets, 343
CIS (Commonwealth of Independent States), 227
Civil war in Syria, 6
Johansen cointegration test, 137–141
Computation, 3
Conflict, 14
Syrian, 14
Constant relative risk aversion (CRRA), 307
Constraints, 19
FTSE Group, 19
Standard and Poor’s (S&P), 19
Corporate bond, implementation of, 285
Corporate finance, 49
Corporate reporting transparency, 83
Corruption Perception Index, 280
Costs
in signaling theory, 51
Country characteristics, 197
Country’s stock exchanges, 327
Country weights
for portfolios created by separating the corporations, 261
in various frontier market indices and comparative economic metrics, 91
Creditable accounting standards, 83
Credit allocation, 334
Credit booms/busts, 323
Credit-intensive expansions, 323
2007/08 crisis, 274
Croatia
negative growth rates, 364
Cross-sectional absolute deviation (CSAD), 4
Cross-sectional behavior, 7
of assets, 7
Cross-sectional standard deviation (CSSD), 4
Crude oil prices, 33
Cumulative abnormal returns (CARs), 344
Cumulative squared error (CSE), 201
D
Datastream-compiled stock indices, 216
Datastream market indices, 344
Delineations, 84
Deposit-taking institutions, 334
Destabilizing effects, 5
Deterioration, in financial markets, 13
Devaluation, of currencies, 360
Dhaka Stock Exchange, 52
Diminishing wealth, volatile exchange rates, 360
Dispersions, 6
benefits, 164
of frontier markets vanish during, 19
international, 123
price paid for, 19
of a traditional stock and bond investment portfolio, 21
Dividend discount model (DDM), 87
Dividend-payout ratio (log) (DE2), 196
Dividend-price ratio (log) (DP), 195
Dividends, 49
lifecycle theory, 51
signaling theory, 53
Dividend yield (log) (DY), 195
Domestic assets, 123
Dynamic conditional correlation (DCC), 164
copula extension, 165
DCC-GARCH framework, 35
-mixed data sampling (DCC-MIDAS), 34
E
Earnings-price ratio (log) (EP), 196
Eastern Europe
Eastern European stock exchanges, 70
GDP, GDP growth, GDP per capita, unemployment, and population living below the poverty line, 366
inflow of foreign currency from FDI, FPI, and remittances in, 376
institutional quality index, 365
remittances
impact on frontier markets’ exchange rate stability, 375–378
and real effective exchange rates, 377
finance, relationship between, 323
measuring banking sector development, 326
measuring stock market development, 327
negative impact, 322
Economic outlooks, 278
by market capitalization, 279
Economic policies, 221
Economic shocks, 273
Efficient frontier (EF) portfolio, 313
Efficient market hypothesis (EMH), 67
Egypt, 21
growth, back on track, 21
political stability, 21
Egyptian military intervention, 4
Egyptian stock market, 5
Electrical power
energy development and consumption, 284
Emerging economies, 326
Emerging emerging markets, 124
behavior, 304
next generation of, 124
Emerging Markets-World MSCI (EM/World), 231
Empirical model, 7–9
based on a relationship between observed biased beta and unobserved true beta, 8
cross-sectional standard deviation, 8
cross-sectional variation, 8
dynamics of herding parameter, 9
equations constitute Model 2, 8
error terms, 8
to follow a dynamic process, 8
Model 1 modified and fundamentals, 8
multiple regression equation, 9
statistically significant value, 8
Enterprise value (EV), 251
Equities, 273
equity index data set, 288
Equity Indexes Correlation, 293
MSCI Frontier Markets Index, 271
Equity index probability distributions test, 289
Equity index-univariate RS probability distributions test, 300
equity market liquidity (MOVERS), 196
Equity performance, 88
Equity returns, 90
European
debt crisis, 304
GDP, GDP growth, GDP per capita, unemployment, and population living below the poverty line, 366
GDP per capita, 365
European frontier markets
daily stock index returns, calculation, 71
data set, 70
empirical results, 73
ARFIMA-FIGARCH model
conditional means, 77
conditional variance, 77
descriptive statistics, 74
long memory tests, returns and squared returns, 76
plots of daily returns, 75
unit root test results, 76
market capitalization, 71
methodology, 71
ARFIMA-FIGARCH model, 72–73
long memory, 71–72
Evidence, 6
EViews 8, GARCH-in-mean equations, 234
Exchange rates, 226
remittances on, 371
Exchange-traded funds (ETFs), 270
Expression frontier markets, 276
F
Fallen angels, 82
Fallen stars, 83–84
Fed policies, 226
on volatility in emerging and frontier markets, 225
Finance-growth nexus, empirical assessment of, 321
authentic, 322
empirical literature on, 324–326
empirical results, 333–335
generalized method of moments (GMM), 322
gross domestic product (GDP), 322
metaanalysis, 322
model and variables, 326
economic growth
measuring banking sector development, 326–327
measuring stock market development, 327–328
instrumental variables, 328–332
Financial authorities, 101
effect in integration process, 222
Financial development, 322
Financial indicator, portfolios, 255
Financial institutional investment, 270
Financial lifecycle theory, 51
Financial markets
integration, 270
linkages across, 125
Financial ratio
Financial stress indices
relationship between WTI and, 34
Financial Times Stock Exchange (FTSE), 270
Fixed effects panel analysis, for high remittance countries, 374
Forecast performance
and country characteristics, 212
Foreign currency flows
from FDI, FPI, and remittances in four Asian countries, 373
sudden/drastic fluctuations, 383
Foreign currency inflows, 360
foreign currency, 369
low and middle-income economies, 361
Foreign investment flows, 360
foreign currency, 369
low and middle-income economies, 361
Free cash flow hypothesis, 51
Frontier markets, 68
Africa and Middle East regions, 369
attention on, 372
and emerging markets extreme correlation, 292
grapple with market thinness, rapid changes in, 68
indexes, 21
comparisons-country weight distribution, 85
less liquid and thinner, 67
performance, 84
correlation, 186
good proxy of diversification benefits, 186–189
data and descriptive statistics, 166
descriptive statistics for net weekly returns for world developed market
selected frontier equally weighted regional indices, 170
and selected frontier market indices, 169
descriptive statistics for regional frontier markets correlations based on DCC and copula DCC, 187
methodology, 172
measuring risk and return, 172
measuring time-varying correlations, 173
MSCI World Index, 167
net weekly percentage returns, 170
in selected frontier markets, 167
nonnormality in the returns, 172
risk and return relationship, 184
selected risk-return and correlation relationships
for world developed market and portfolios with 75% regional frontier market diversification, 181
for world developed market and portfolios with 85% regional frontier market diversification, 178
for world developed market and selected frontier equally weighted regional market indices, 175
sharpe and modified sharpe ratios, 186
subperiods within the data, 171
time-varying conditional correlations
between world and selected frontier equally weighted regional markets, 184
value at risk, 185
MSCI World Index, 185
report, 290
returns, 86
better measure of, 88
and performance metrics, 89
Frontier stock markets, in Europe, 68
F-score, 246
Fund manager, 20
Funds transfer, 360
G
GARCH approach, 34
stock prices in the United States, 34
GARCH framework, 233
GARCH-in-mean model estimation results, 237
GARCH specification, 234
G7 countries, 273
Generalized method of moments (GMM), 322
Ghana, GDP per capita levels of, 221
GISW test, of abnormal performance, 202
Global economy, 82
Global Financial Development Database (GFDD), 326
Global financial turmoil, 225
Global risk aversion, 225
Global stock markets, 21
GOVCONS (general government final consumption expenditures), 329
Governmental policy, 270
Granger causality, 232–240
per capita
European and Latin American, 365
per capita (GDP(pc)), 211
per capita comparison, 220
per capita purchasing power parity (PPP)-adjusted values, 219
Gross domestic investment, 329
Gross domestic product (GDP), 363
behavior, 274
of country, 322
finance-growth nexus, empirical assessment of, 322
growth rate, 126
CEE and MENA frontier markets and mature markets, comparison between, 126
per capita, 331
smoothed median real GDP per capita growth rates, 332
trade openness, 328
Gross enrollment ratio, 328
Gross profits-to-assets (GPA), 247
indicator, 255
created by separating the corporations, 260
quality investing, 248
Growth, 334
performance, 226
rate of, 19
return correlation, 90
markets, 22
stock markets, 5
conditional correlations between oil prices
and GCC stock markets, 44
and non-GCC stock markets, 45
empirical analysis, 37
data and hypotheses tested, 37
multivariate GARCH-BEKK model to test for volatility spillover, 37
non-GCC stock market returns, 39
oil and GCC stock market returns, 39
estimated VAR-GARCH model
GCC countries, 40
non-GCC countries, 42
estimated VAR-GARCH model, GCC countries, 40
H
Health development, 285
Asian, style analysis to, 22
Barclay Hedge database, 23
area of investment focus, 23
equity-style indexes, selection, 23
investment strategy, 23
variance inflation factors (VIFs), 23
dedicated to investing in specific frontier regions, 96
multiple regression analysis, 24
produce low R-squared values, 22
Sharpe style analysis, 22–25
trade, 23
Herding, 3
approaches to testing for, 3
Heritage Foundation’s Index of Economic Freedom, 221
Heterogeneity, of investors/traders, 10
High remittance receiving countries, 383
fixed effects panel analysis for, 385
inflows of remittances and remittances as share of GDP, 384
I
Ignorance, 6
Index limitations, 86
India
Indian economy, Narendra Modi, 278
M&A in frontier markets, 343
Indonesia, M&A in frontier markets, 343
Industrial development, 276
Infant mortality, 285
Inflation, 329
Information signaling theory, 51
In-sample (INS)
aggregate return predictability, 193
predictive power, 199
Instability, 21
interest in, 22
Integrated international markets, 272
Integration process
advantages and challenges, 223
International diversification, 313
International Finance Corporation (IFC), 124
International investment, 272
International stock markets, 127
International trade, 70
Investments, 273
behavior, 3
BRICs’ Lessons, 276–278
data/methodology, 284
corporate bond, implementation of, 285
descriptive statistics, 286
frontier markets and diversification, 288
normality, 287–288
economic evidence, 278–281
generalization, 296
generalization-multivariate regime switching, 301
Markov chain, 297–299
multivariate regime switching, 303
nonnormality, additional evidence of, 301
normality, regime switching distribution, 299
number of regimes, 303
further evidence, 281
energy development, 283
health development, 284
technological development, 282
international markets, 272–274
in mortgage-linked stocks, 13
power of diversification, 288
exposure, 290–294
univariate regime switching application, 304–307
asset allocation, importance of, 307
investor optimization problem, 307–308
portfolio framework, 308–310
results, 310–315
Investor risk aversion, 307
Investors’ behavior, 4
Investors’ optimization problem, 308
Investors/traders, heterogeneity, 10
Israel, M&A in frontier markets, 343
J
Jarque-Bera test, 287
Jordan, remittance receiving countries, 371
K
effect of local and global factors on herding, 13
growth, back on track, 21
guided by mortgage crisis and region-specific events, 14
herding pattern for, 12
linked to the conflict in Syria and, 14
political stability, 21
sentimental herding, 12
Kyrgyzstan, populations living in poverty, 368
L
Latin America
change in remittances and real effective exchange rates, 381
fixed effects panel analysis, 382
GDP, GDP growth, GDP per capita, unemployment, and population living below the poverty line, 366
inflow of foreign currency from FDI, FPI, and remittances, 380
institutional quality index, 365
remittances impact on frontier markets’ exchange rate stability, 379–382
Latin American frontier market economies, 380
Latin American, GDP per capita, 365
Lehman Brothers, 225
defined, 325
pools, 94–96
Listed domestic companies, market capitalization of, 327
LL (liquid liabilities), 327
M
Macroeconomic factors, 50
Macroeconomic malfeasance, 83
Macro framework, 87–88
Malaysia, M&A in frontier markets, 343
of various frontier market investment vehicles, 95
Market-friendly restructuring, 82
Market inefficiencies, 3
Market information, 13
Market integration, 164
Market movements, 124
Market risk, 12
“Market-wide” approach, 4
Markov chain, 297
two-states model, 297
Markov chain Monte Carlo (MCMC), 298
Markov switching model, 34
Markowitz efficient frontier for international assets, 291
Markowitz methodology, 309
Markowitz optimization process, 311
portfolio, 272
Mean-variance optimizing investor, 202
Mergers and acquisitions (M&A), 341
behavior of market, 342
data/methodology, 343
methodology, 344–346
sample, 343–344
empirical results
acquirer performance, 346–355
target firm performance, 355–356
trend in frontier markets, 346
Mexico, M&A in frontier markets, 343
Microcaps, 83
Middle East
political instability, 4
remittances impact on frontier markets’ exchange rate stability, 369–372
cointegration ranks, 144
correlations between MENA frontier markets and mature markets, 135
data and findings, 10
Akaike information criteria, 12
autoregressive coefficient, 11
beta dispersion, 12
beta estimates, 10
coefficients of variations, 10
datastream database, 10
descriptive statistics indicate, 10
effect of local and global factors on herding, 13
estimation results for sentimental herding (model 6), 10
herding pattern
for Kuwait, 12
for Qatar, 12
Jarque-Bera statistics, 10
Kalman-filter estimates, 10
kurtosis, 10
no effect on herding in Qatar, 14
signal ratios range, 12
volatility in oil prices, risk factor, 14
descriptive statistics for the returns of selected frontier and mature markets, 131
emerging markets, 233
GDP growth rate, 126
Granger causality tests for the group
MENA-Germany, 151
MENA-UK, 150
MENA-US, 149
growth, 21
hedge funds
opting to invest via index funds, 22
that invest in, 24
Sharpe style analysis, 23–25
Johansen’s test for multivariate cointegration among MENA frontier markets, 142
and Germany, 143
and UK, 143
and US, 142
market capitalization, 22
rankings improve, 21
stock indexes, 159
superior political stability and economic conditions, 21
weekly returns series, 162
Middle Eastern
remittances and real effective exchange rates, 370
impact of global markets, 5
Migrant incomes, 361
Monetary Fund’s International Financial Statistics publication, 216
Moral hazard, 49
definition, 335
Emerging Markets, 290
equity indexes, 309
Frontier Emerging Markets Index, 195
composition, 275
frontier market returns, 86
equity index, 284
Global Investable Market Indices Methodology, 246
United States Index, 311
value at risk measure of, 231
Morocco, 21
growth, back on track, 21
M&A in frontier markets, 343
political stability, 21
as factors on herding, 13
Kuwait market significantly influenced by, 13
MSE-F statistics, 201
Multifactor asset pricing model, 34
Multivariate GARCH modeling, 127
Multivariate regime switching correlation, 303
Multivariate regime switching models, 301
fit, 319
Multivariate RS probability distributions test, 302
N
NASDAQ, 70
National indices, 10
Net acquisitions, 329
Nigeria
early-stage markets, 290
GDP growth, 364
populations living in poverty, 368
remittance receiving countries, 371
No ARCH effect, 234
Nonnormality of returns, 271
Non-USUKCAN markets, 348
N-state Markov chain model, 297
O
Oil prices, 34
Oman, 4
driving forces for sentimental herding, 10
market capitalization, 6
Ordinary least squares (OLS) method, 10
Out-of-sample (OOS), 193
forecast accuracy, 203
forecasting tests, 194
forecast performance, 210
predictability, 193
P
Pakistan, 20
economic weakening, MSCI report, 20
GDP per capita levels of, 221
volatility in portfolio investment, 373
Panama, GDP growth, 364
Pan Arab Index, 24
Performance risk-diversification, 311
Peru, M&A in frontier markets, 343
Philippines, M&A in frontier markets, 343
Poland, M&A in frontier markets, 343
Political and economic instability, 124
Political policies, 221
Political stability, 21
Poorest performing predictor, 203
Portfolio
financial ratio, monthly portfolio results, 256
Markowitz optimization process, 272
weighted by market capitalization, 255
Portfolio allocation gains, 194
GISW manipulation, 209
to mean-variance optimizing investor, 208
Portfolio analysis, 310
economic and population indicators, 254
Portfolio asset allocation, 311
Portfolio distribution, 310
Portfolio exposures
in frontier markets, 271
international markets, 272
Portfolio investment, 373
Portfolio investors, 221
asset allocation optimization, 273
Portfolio manager, 304
Portfolio returns, 88
Portfolio weight, 262
economic and population indicators, 262
Price movements, adjusted, 275
PRICRE (private credit), 333
Private credit, 326
Privatization of state-owned enterprises, 70
Purchasing power parity (PPP)-adjusted values, 219
Q
Qatar, 4
affected by dynamics of oil market, 13
effect of local and global factors on herding, 13
herding pattern for, 12
investors/traders in the stock market appear to be more concerned, 14
market capitalization, 6
market prepared to shocks due to better access, 14
market return, 11
mortgage crisis, 13
no effect on herding in, 14
sentimental herding, 12
weaker trade and financial connections with Egypt and, 14
Quality investing
financial indicators present, 250
further research, 263–264
methodology, 252
data cleaning, 252–253
portfolio results, 253
average values of financial ratios, 255–257
on gross-profit-to-assets, 259–262
on median values of financial ratios, 258–259
variables, 248
Quality investing, 246
Quality-minus-junk (QMJ) factor, 246
Quarterly data
on remittance FDI, FPI, trade, and GDP, 364
R
Random-walk
with drift model, 200
Real effective exchange rates (REERs), 362
capital flows (FDI + FPI), 368
and remittance flows, 368
Regimes, 296
business cycle evidence, 305
fit, 305
and frontier markets, 294
reliability of, 320
univariate, 299
Regime switching probability density function, 298
Regressions, 333
Remittances
flows, 360
impact on frontier markets’ exchange rate stability
Africa/Middle East, 369–372
Asia, 372–375
data/results, 363–369
Eastern Europe, 375–378
high remittance receiving frontier countries, 383–385
Latin America, 379–382
model/methodology, 362–363
overview of, 359–362
low and middle-income economies, 361
Research, for region aiming, 5
Return-growth correlations for selected frontier markets, 93
Return predictability, See Stock index return predictability
Revision on banking regulations in Basel III, 165
Rising stars, 83
Risk-aversion coefficient, 296
Risk management, 124
RiskMetrics methodology, 231
Risk premia, 294
Risk-return profile, 294
in frontier markets, 164
Russell’s economic criteria, 245
Russian Federation
M&A in frontier markets, 343
S
Sample, descriptive statistics, 345
Sargan test, 333
Serbia, negative growth rates, 364
Shareholders, 49
of target firms in frontier markets, 355
Shariah compliant, 10
Sharpe style analysis, 24
constraint, 24
descriptive statistics Jan. 2012 to Dec. 2014, 26
equation, 24
hedge fund, 24
multiple regression model for, 24
objective of, 25
overall model fit: regression results, 27
results, 28
style indexes, 24
regression coefficient, 25
SIC code, 350
Slow economic growth
volatile exchange rates, 360
South Africa, M&A in frontier markets, 343
South Korea, M&A in frontier markets, 343
S&P Frontier BMI Index, 24
S&P GCC Composite Shariah Index, 24
Sri Lanka
GDP growth, 364
technological development, 282
volatility in portfolio investment, 373
Standard deviation (SD), 196
lower, 21
State-owned assets, 326
State-space model, 4
Stock financing, 344
Stock index return predictability, 193
country characteristics, 210–213
data definitions, 216
data description, 195–196
dividend-price ratio, 216
dividend-yield ratio, 216
earnings-price ratio, 216
economic significance of, 207
manipulation proof utility gains, 207–210
utility gains, 207
empirical methodology, 199
forecast evaluation and application, 200–203
predictive regressions and individual forecasts, 199–200
forecast performance, 210–213
in-sample return predictability, 203
OOS forecast accuracy, 205
out-of-sample stock return forecasts, 205
risk-free rate proxy, 216
stock returns (R), 216
economic growth, important for, 321
volatility, 33
Stock prices, 10
relationship between oil and, 33
Stock returns, 124
in-sample predictability, 204
out-of-sample forecasts o, 206
to examine both oil importing countries, 35
for investments in frontier markets, 100
Style indexes, 24
Subprime mortgage crisis, 223
Syria
deterioration of its economic and social life, 14
Syrian Civil War, 4
1993 System of National Accounts (SNA), 329
T
Taiwan
M&A in frontier markets, 343
Tallinn Stock Exchange, 70
merged with the OMX Group, 70
Target CARs, 346
Target firms’ performance, 346
Tax-based signaling model, 50
Technological development
mobile phone subscriptions, 282
number of Internet users, 283
Term of trade (TOT), 363
Thailand, M&A in frontier markets, 343
Theories of dividend policy, 50–51
Thomson Financial SCD global M&A database, 343
Time-varying coefficients, 199
Too much finance, 322
Traded funds, 19
Trade volumes
volatile exchange rates, 360
Transaction costs, 19
Transition economies, 124
t-test, 370
Tunisia, 21
growth, back on track, 21
political stability, 21
Turkey, M&A in frontier markets, 343
Turkish stock market, 6
Turnover equals, 328
Two-moment VaR model, 165
U
Ukraine, negative growth rates, 364
United Kingdom, M&A in frontier markets, 342
United States, M&A in frontier markets, 342
Univariate regime switching regressions, 306
USA
GDP, GDP growth, GDP per capita, unemployment, and population living below the poverty line, 366
GDP growth, 364
US banking system, 224
US diversified mutual funds, to analyze, 20
US equity market-GDP ratio, 196
US federal reserve policies, 219
advantages and challenges of investing, 223
fed policies, review of, 225–227
GDP per Capita Comparison, 220
GDP per capita purchasing power parity (PPP)-adjusted values, 219
global financial crisis (GFC), 223–224
macroeconomic indicators and economic performance, 219
MSCI indices on frontier markets, 227–231
political and economic policies, 221
portfolio investors, 221
spillover effect testing, 232–240
US stock market, on emerging markets, 225
USUKCAN bidders, 352
Utility gain, 202
V
calculation, 100
and capital requirement for market risks, 102
defining value at risk, 102–103
estimation in the banking regulation, 103–104
minimum capital requirement, 103
SVaR measure, 103
estimation models, 104–106
EWMA models, 106
GARCH models, 105
HS model, 105
PM approach, 105
TGARCH models, 106
opportunity cost of regulation, 106–107
empirical analysis, results of, 108
capital requirement and VaR models within context of frontier markets, 112–113
investment opportunity in frontier markets, 108–112
limitation, 100
methodologies, 100
parametric models, 99
stressed, 102
VAR-GARCH model, 34
relationship between daily oil and stock prices, GCC region, 34
Variance inflation factors (VIFs), 23
Vector autoregression (VAR) framework, 34
causality between oil future prices and US stock prices, 34
Venezuela, M&A in frontier markets, 343
Vilnius Stock Exchange, 70
Volatile exchange rates, 360
clusters, 235
W
Wald test, 333
Wall Street surpluses, 223
Wealth Management Association (WMA), 272
West Texas Intermediate (WTI) oil prices, 33
World Bank Governance Index, 364
World Bank World Development Indicators, 327
World Development Indicators database, 326
Worldscope, 255
WTI (West Texas Intermediate) oil spot-price index, 5
Z
Zimbabwe, GDP per capita levels of, 221
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