Handbook of Frontier Markets - 1st Edition - ISBN: 9780128092002, 9780128094914

Handbook of Frontier Markets

1st Edition

Evidence from Middle East North Africa and International Comparative Studies

Editors: Panagiotis Andrikopoulos Greg N. Gregoriou Vasileios Kallinterakis
eBook ISBN: 9780128094914
Hardcover ISBN: 9780128092002
Imprint: Academic Press
Published Date: 2nd August 2016
Page Count: 428
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Description

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.

Key Features

  • 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

Readership

Upper-division undergraduates, graduate students, and professionals studying and working in frontier and emerging markets and corresponding fields in accounting, business, regulation, and finance.

Table of 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?
      • 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

Details

No. of pages:
428
Language:
English
Copyright:
© Academic Press 2016
Published:
Imprint:
Academic Press
eBook ISBN:
9780128094914
Hardcover ISBN:
9780128092002

About the Editor

Panagiotis Andrikopoulos

Dr. Panagiotis Andrikopoulos is the Associate Head for Applied Research at Coventry University Business School, University of Coventry. He is also an Adjunct Associate Professor in Finance in the School of Accounting Sciences at North-West University, South Africa. He has also lectured at De Montfort University, UK where he taught various finance courses such as Investment Theory and Analysis, Finance Theory, Corporate Finance, and Behavioural Finance. He has obtained his Ph.D. in finance at the University of Portsmouth studying the profitability of contrarian investments strategies in the U.K. setting.

Affiliations and Expertise

Coventry University Business School, University of Coventry, UK

Greg N. Gregoriou

Greg N. Gregoriou

A native of Montreal, Professor Greg N. Gregoriou obtained his joint Ph.D. in finance at the University of Quebec at Montreal which merges the resources of Montreal's four major universities McGill, Concordia, UQAM and HEC. Professor Gregoriou is Professor of Finance at State University of New York (Plattsburgh) and has taught a variety of finance courses such as Alternative Investments, International Finance, Money and Capital Markets, Portfolio Management, and Corporate Finance. He has also lectured at the University of Vermont, Universidad de Navarra and at the University of Quebec at Montreal.

Professor Gregoriou has published 50 books, 65 refereed publications in peer-reviewed journals and 24 book chapters since his arrival at SUNY Plattsburgh in August 2003. Professor Gregoriou's books have been published by McGraw-Hill, John Wiley & Sons, Elsevier-Butterworth/Heinemann, Taylor and Francis/CRC Press, Palgrave-MacMillan and Risk Books. Four of his books have been translated into Chinese and Russian. His academic articles have appeared in well-known peer-reviewed journals such as the Review of Asset Pricing Studies, Journal of Portfolio Management, Journal of Futures Markets, European Journal of Operational Research, Annals of Operations Research, Computers and Operations Research, etc.

Professor Gregoriou is the derivatives editor and editorial board member for the Journal of Asset Management as well as editorial board member for the Journal of Wealth Management, the Journal of Risk Management in Financial Institutions, Market Integrity, IEB International Journal of Finance, and the Brazilian Business Review. Professor Gregoriou's interests focus on hedge funds, funds of funds, commodity trading advisors, managed futures, venture capital and private equity. He has also been quoted several times in the New York Times, Barron's, the Financial Times of London, Le Temps (Geneva), Les Echos (Paris) and L'Observateur de Monaco. He has done consulting work for numerous clients and investment firms in Montreal. He is a part-time lecturer in finance at McGill University, an advisory member of the Markets and Services Research Centre at Edith Cowan University in Joondalup (Australia), a senior advisor to the Ferrell Asset Management Group in Singapore and a research associate with the University of Quebec at Montreal's CDP Capital Chair in Portfolio Management. He is on the advisory board of the Research Center for Operations and Productivity Management at the University of Science and Technology (Management School) in Hefei, Anhui, China.

Affiliations and Expertise

School of Business and Economics, State University of New York, Plattsburgh, NY, USA

Vasileios Kallinterakis

Dr. Vasileios (Bill) Kallinterakis is currently Lecturer of Finance at the University of Liverpool Management School; he has also lectured at Durham University Business School (from where he also obtained his PhD) and Leeds University Business School. During his career, he has taught a variety of courses related to Behavioural Finance, Corporate Finance and Econometrics. His research interests focus on behavioural finance, institutional investors, market volatility and emerging markets.

Affiliations and Expertise

University of Liverpool Management School, UK

Reviews

"This is a very comprehensive handbook for graduate students, researchers, and practitioners who are interested in financial aspects of frontier markets. The book documents experiences of countries as diverse as Botswana, Morocco, Vietnam, and Slovenia, among many others. An excellent read!"  --Viviana Fernandez, Universidad Adolfo Ibáñez

"A comprehensive collection of high quality articles on a wide range of topics related to frontier financial markets. A solid reference for all those interested in this topic."  --Petre Caraiani, Institutul National de Cercetari Economice (INCE), Academia Romana