Handbook of Frontier Markets

Chapter 5

Are Frontier Markets Worth the Risk?

B.K. Uludag^*

H. Ezzat^***    Dokuz Eylül University, Faculty of Business, Izmir, Turkey^**    Maastricht University, School of Business, Maastricht, The Netherlands

Abstract

In this study we examine long memory properties in the returns and volatility of the major European frontier stock markets of Slovenia, Slovakia, Romania, Croatia, Estonia, and Lithuania. The sample period is between 2012 and 2014. We test for the long memory property using the Geweke and Porter-Hudak (GPH) and the Gaussian semiparametric (GSP) methods. The findings show that while there is long memory in stock returns for only Romania and Slovenia, the long memory property in the volatility series is found to be highly significant ...