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

Research output: Chapter in Book/Report/Conference proceedingChapter

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 languageEnglish
Title of host publicationHandbook of Frontier Markets
Subtitle of host publicationEvidence from Middle East, North Africa and International Comparative Studies
EditorsPanagiotis Andrikopoulos, Greg N. Gregoriou, Vasileios Kallinterakis
Place of PublicationLondon, UK.
PublisherAcademic Press
Pages163-192
Number of pages29
Volume2
ISBN (Print)978-0-12-809200-2
DOIs
Publication statusPublished - 2016

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Regional effects
Portfolio diversification
Diversification benefits
Non-normality
Copula
Isolation
Investors
Value at risk
Proxy variables
Africa
Time-varying correlations

Bibliographical note

The full text is not available on the repository.

Keywords

  • international portfolio diversification
  • frontier markets
  • regional effects
  • DCC copula

Cite this

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). London, UK.: 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 proceedingChapter

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 https://doi.org/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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