Development strategy in offshore markets: evidence from the Channel Islands
AbstractPurpose – This paper aims to review the development of the Channel Islands exchange and assess the potential diversification benefits arising from the inclusion of this market in investment portfolios containing UK and French equity assets. Design/methodology/approach – First this paper uses a simple stochastic drift, GARCH, and time-varying parameter CAPM to model total returns indices. Second, it uses the unconditional and conditional means and variances from first stage as inputs into a mean-variance portfolio quadratic optimisation problem: the solutions of which denote the optimal asset weights. Findings – The evidence suggests that although there are serious difficulties in modelling time series from small illiquid equity markets owing to price-rigidity, the limited benefits that do exist for the inclusion of Channel Islands assets in portfolios do so preferentially with Paris as opposed to London assets. Originality/value – This paper extends the literature development policy options for small offshore markets and provides the first analysis of the Channel Islands.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Emerald Group Publishing in its journal Journal of Economic Studies.
Volume (Year): 38 (2011)
Issue (Month): 1 (January)
Contact details of provider:
Web page: http://www.emeraldinsight.com
Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- O55 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Africa
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Virginia Chapman).
If references are entirely missing, you can add them using this form.