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Handbook of Frontier Markets

Book 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.



  • 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

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