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Handbook of Frontier Markets

Book Description

Handbook of Frontier Markets: The European and African Evidence 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.



  • Presents topics in the context of frontier markets and uses tests based on established methodologies from finance research
  • Draws from authors who are established university academics
  • Pays particular attention to 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

Table of Contents

  1. Cover
  2. Title page
  3. Table of Contents
  4. Copyright
  5. List of Contributors
  6. About the Editors
  7. About the Contributors
  8. Acknowledgment
  9. Section A: Africa
    1. Chapter 1: Testing for the Weak-Form Market Efficiency of the Dar es Salaam Stock Exchange
      1. Abstract
      2. 1. Introduction
      3. 2. The Random Walk Theory and the Efficient Market Hypothesis
      4. 3. Empirical Literature Review on Weak-Form Market Efficiency
      5. 4. Data Sources
      6. 5. Methodology
      7. 6. Analyses and Presentation of the Results
      8. 7. Conclusions and Recommendations
    2. Chapter 2: Stock Returns and Inflation: The Case of Botswana
      1. Abstract
      2. 1. Introduction
      3. 2. Literature Review
      4. 3. Overview of the Economy of Botswana
      5. 4. Data and Methodology
      6. 5. Results
      7. 6. Conclusions
    3. Chapter 3: Modeling and Forecasting Stock Market Volatility in Frontier Markets: Evidence From Four European and Four African Frontier Markets
      1. Abstract
      2. 1. Introduction
      3. 2. Background Information
      4. 3. Data
      5. 4. Methodology
      6. 5. Findings and Discussions
      7. 6. Conclusions and Further Research
    4. Chapter 4: Herd Behavior in Frontier Markets: Evidence from Nigeria and Morocco
      1. Abstract
      2. 1. Introduction
      3. 2. Methodology and Data
      4. 3. Empirical Results
      5. 4. Conclusions
    5. Chapter 5: Effects of Interest Rates and Exchange Rates on Bank Stock Returns
      1. Abstract
      2. 1. Introduction
      3. 2. Conclusions
    6. Chapter 6: Financial Contagion From US to African Frontier Markets During the 2007–09 Global Financial Crisis
      1. Abstract
      2. 1. Introduction, Aims, and Literature
      3. 2. Data and Descriptive Statistics
      4. 3. Hypotheses and Methodology
      5. 4. Results
      6. 5. Discussions
      7. 6. Conclusions
      8. Appendix 1: Time-Varying Correlations of US with African Markets
      9. Appendix 2: Time-Varying Correlations of US with Developed Markets
  10. Section B: Europe
    1. Chapter 7: An Assessment of the Real Development Prospects of the EU 28 Frontier Equity Markets
      1. Abstract
      2. 1. Introduction
      3. 2. A Comparative Analysis of the EU 10 Frontier Markets
      4. 3. Hypothesis, Data, and Research Results
      5. 4. Discussions and Conclusions
    2. Chapter 8: Are European Frontier Markets Efficient?
      1. Abstract
      2. 1. Introduction
      3. 2. The Theory of Informational Market Efficiency
      4. 3. The Empirical Literature on Frontier Markets and Informational Efficiency
      5. 4. Methodology
      6. 5. Overview of Eastern European Markets and Sample Selection
      7. 6. Results
      8. 7. Conclusions and Recommendations
    3. Chapter 9: Another Look at Financial Analysts’ Forecasts Accuracy: Recent Evidence From Eastern European Frontier Markets
      1. Abstract
      2. 1. Introduction
      3. 2. Conceptual Framework
      4. 3. Data and Methodology
      5. 4. Analysis of FAF on Eastern European Frontier Markets
      6. 5. Conclusions
    4. Chapter 10: Are There Herding Patterns in the European Frontier Markets?
      1. Abstract
      2. 1. Introduction
      3. 2. Database
      4. 3. Methodology
      5. 4. Empirical Results
      6. 5. Conclusions
      7. Acknowledgment
  11. Section C: Asia
    1. Chapter 11: Is Bankruptcy a Systematic Risk? Evidence From Vietnam
      1. Abstract
      2. 1. Introduction
      3. 2. Literature Review
      4. 3. Research Design, Data, and Methodology
      5. 4. Results of Analysis and Discussion of Findings
      6. 5. Conclusions and Recommendations
    2. Chapter 12: Investors’ Herding in Frontier Markets: Evidence From Mongolia
      1. Abstract
      2. 1. Introduction
      3. 2. Mongolian Stock Exchange: A Brief Overview
      4. 3. Data and Methodology
      5. 4. Results and Conclusion
    3. Chapter 13: Structural Breaks, Efficiency, and Volatility: An Empirical Investigation of Southeast Asian Frontier Markets
      1. Abstract
      2. 1. Introduction
      3. 2. Literature Review
      4. 3. Data and Methodology
      5. 4. Empirical Results
      6. 5. Conclusions
  12. Index