The Portfolio Diversification Benefits of Frontier Markets: An Investigation Into Regional Effects

Panos Andrikopoulos; Jacek Niklewski; Timothy Rodgers

doi:10.1016/B978-0-12-809200-2.00009-9

The Portfolio Diversification Benefits of Frontier Markets: An Investigation Into Regional Effects

Panos Andrikopoulos, Jacek Niklewski, Timothy Rodgers

School of Economics, Finance and Accounting

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

3 Citations (Scopus)

Abstract

This chapter explores the differences in diversification benefits attributable to individual regional frontier markets. We estimate time-varying correlations using a DCC–MGARCH–based copula model and examine the risk–return relationship using a modified value at risk approach that takes into account nonnormality in returns. We identify frontier Africa as producing the greatest diversification benefits to an international investor and frontier Europe as providing the least. We also find evidence to suggest that low correlation considered in isolation is not necessarily a good proxy variable for identifying optimal diversification benefits.

Original language	English
Title of host publication	Handbook of Frontier Markets
Subtitle of host publication	Evidence from Middle East, North Africa and International Comparative Studies
Editors	Panagiotis Andrikopoulos, Greg N. Gregoriou, Vasileios Kallinterakis
Place of Publication	London, UK.
Publisher	Academic Press
Pages	163-192
Number of pages	29
Volume	2
ISBN (Print)	978-0-12-809200-2
DOIs	https://doi.org/10.1016/B978-0-12-809200-2.00009-9
Publication status	Published - 2016

Keywords

international portfolio diversification
frontier markets
regional effects
DCC copula

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10.1016/B978-0-12-809200-2.00009-9

Panagiotis Andrikopoulos
- Research Centre for Financial & Corporate Integrity - Centre Director
Person: Professional Services

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Andrikopoulos, P., Niklewski, J., & Rodgers, T. (2016). The Portfolio Diversification Benefits of Frontier Markets: An Investigation Into Regional Effects. In P. Andrikopoulos, G. N. Gregoriou, & V. Kallinterakis (Eds.), Handbook of Frontier Markets: Evidence from Middle East, North Africa and International Comparative Studies (Vol. 2, pp. 163-192). Academic Press. https://doi.org/10.1016/B978-0-12-809200-2.00009-9

The Portfolio Diversification Benefits of Frontier Markets: An Investigation Into Regional Effects. / Andrikopoulos, Panos; Niklewski, Jacek; Rodgers, Timothy.
Handbook of Frontier Markets: Evidence from Middle East, North Africa and International Comparative Studies. ed. / Panagiotis Andrikopoulos; Greg N. Gregoriou; Vasileios Kallinterakis. Vol. 2 London, UK.: Academic Press, 2016. p. 163-192.

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Andrikopoulos, P, Niklewski, J & Rodgers, T 2016, The Portfolio Diversification Benefits of Frontier Markets: An Investigation Into Regional Effects. in P Andrikopoulos, GN Gregoriou & V Kallinterakis (eds), Handbook of Frontier Markets: Evidence from Middle East, North Africa and International Comparative Studies. vol. 2, Academic Press, London, UK., pp. 163-192. https://doi.org/10.1016/B978-0-12-809200-2.00009-9

Andrikopoulos P, Niklewski J, Rodgers T. The Portfolio Diversification Benefits of Frontier Markets: An Investigation Into Regional Effects. In Andrikopoulos P, Gregoriou GN, Kallinterakis V, editors, Handbook of Frontier Markets: Evidence from Middle East, North Africa and International Comparative Studies. Vol. 2. London, UK.: Academic Press. 2016. p. 163-192 doi: 10.1016/B978-0-12-809200-2.00009-9

Andrikopoulos, Panos ; Niklewski, Jacek ; Rodgers, Timothy. / The Portfolio Diversification Benefits of Frontier Markets: An Investigation Into Regional Effects. Handbook of Frontier Markets: Evidence from Middle East, North Africa and International Comparative Studies. editor / Panagiotis Andrikopoulos ; Greg N. Gregoriou ; Vasileios Kallinterakis. Vol. 2 London, UK. : Academic Press, 2016. pp. 163-192

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The Portfolio Diversification Benefits of Frontier Markets: An Investigation Into Regional Effects

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Panagiotis Andrikopoulos

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