Table of Contents

Cover

Title page

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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