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International diversification with frontier markets

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Cited by:

  1. Wolfgang Bessler & Julian Holler & Philipp Kurmann, 2012. "Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 109-141, March.
  2. Ngene, Geoffrey & Tah, Kenneth A. & Darrat, Ali F., 2017. "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, Elsevier, vol. 34(C), pages 61-73.
  3. Ngene, Geoffrey & Post, Jordin A. & Mungai, Ann N., 2018. "Volatility and shock interactions and risk management implications: Evidence from the U.S. and frontier markets," Emerging Markets Review, Elsevier, vol. 37(C), pages 181-198.
  4. He, Hongbo & Chen, Shou & Yao, Shujie & Ou, Jinghua, 2014. "Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 434-444.
  5. Walid M.A. Ahmed, 2016. "Cross-border equity flows and market volatility: the case of Qatar Exchange," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 11(3), pages 395-418, July.
  6. Schäfer, Larissa, 2015. "Essays in banking and international finance," Other publications TiSEM 54db9c22-05fa-4444-97d5-1, Tilburg University, School of Economics and Management.
  7. de Groot, Wilma & Pang, Juan & Swinkels, Laurens, 2012. "The cross-section of stock returns in frontier emerging markets," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 796-818.
  8. Hourani, Alya & Wang, Yan & Demiralay, Sercan & McGroarty, Frank, 2023. "Industry costs of equity: Evidence from frontier markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
  9. Salahuddin, Sultan & Kashif, Muhammad & Rehman, Mobeen Ur, 2020. "Time Varying Stock Market Integration and Diversification Opportunities within Emerging and Frontier Markets," Public Finance Quarterly, Corvinus University of Budapest, vol. 65(2), pages 168-195.
  10. Chen, Mei-Ping & Chen, Pei-Fen & Lee, Chien-Chiang, 2014. "Frontier stock market integration and the global financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 84-103.
  11. Nardo, M. & Ossola, E. & Papanagiotou, E., 2022. "Financial integration in the EU28 equity markets: Measures and drivers," Journal of Financial Markets, Elsevier, vol. 57(C).
  12. Dufour, Alfonso & Stancu, Andrei & Varotto, Simone, 2017. "The equity-like behaviour of sovereign bonds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 25-46.
  13. Zied Ftiti & Aviral Tiwari & Amél Belanès, 2014. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-62, Department of Research, Ipag Business School.
  14. Amanjot Singh & Manjit Singh, 2018. "Co-movement among US, Frontier and BRIC Equity Markets after the Financial Crisis," Global Business Review, International Management Institute, vol. 19(2), pages 311-327, April.
  15. Wahbeeah Mohti & Andreia Dionísio & Paulo Ferreira & Isabel Vieira, 2019. "Frontier markets’ efficiency: mutual information and detrended fluctuation analyses," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 551-572, September.
  16. Mbalyohere, Charles & Lawton, Thomas & Boojihawon, Roshan & Viney, Howard, 2017. "Corporate political activity and location-based advantage: MNE responses to institutional transformation in Uganda’s electricity industry," Journal of World Business, Elsevier, vol. 52(6), pages 743-759.
  17. Zied Ftiti & Aviral Tiwari & Amél Belanès & Khaled Guesmi, 2015. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis Versus Wavelet Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 575-611, December.
  18. Stereńczak, Szymon & Zaremba, Adam & Umar, Zaghum, 2020. "Is there an illiquidity premium in frontier markets?," Emerging Markets Review, Elsevier, vol. 42(C).
  19. Marfatia, Hardik A., 2020. "Investors’ risk perceptions in the US and global stock market integration," Research in International Business and Finance, Elsevier, vol. 52(C).
  20. Ben Slimane, Faten & Boubaker, Sabri & Jouini, Jamel, 2020. "Does the Euro–Mediterranean Partnership contribute to regional integration?," Journal of Policy Modeling, Elsevier, vol. 42(2), pages 328-348.
  21. SENGA, Christian, 2018. "Portfolio optimization at the frontier: Assessing the diversification benefits of African securities," Working Papers 2019001, University of Antwerp, Faculty of Business and Economics.
  22. Kellner, Ralf & Rösch, Daniel, 2019. "A country specific point of view on international diversification," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
  23. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2017. "Can stock market investors hedge energy risk? Evidence from Asia," Energy Economics, Elsevier, vol. 66(C), pages 559-570.
  24. Annaert, Jan & Verdickt, Gertjan, 2021. "Go active or stay passive: Investment trust, financial innovation and diversification in Belgium's early days," Explorations in Economic History, Elsevier, vol. 79(C).
  25. Wil Martens & Prem Yapa & Maryam Safari, 2021. "Earnings Management in Frontier Market: Do Institutional Settings Matter?," Economies, MDPI, vol. 9(1), pages 1-19, February.
  26. Ahmad, Nasir & Rehman, Mobeen Ur & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Does inter-region portfolio diversification pay more than the international diversification?," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 26-35.
  27. Karami, Masoud & Baber, William W. & Ojala, Arto, 2022. "The effectual process of business model innovation for seizing opportunities in frontier markets," Technovation, Elsevier, vol. 117(C).
  28. Mathieu Gomes & Anissa Chaibi, 2014. "Volatility Spillovers Between Oil Prices And Stock Returns: A Focus On Frontier Markets," Post-Print hal-02314397, HAL.
  29. Cagliesi, Gabriella & Guidi, Francesco, 2021. "A three-tiered nested analytical approach to financial integration: The case of emerging and frontier equity markets," International Review of Financial Analysis, Elsevier, vol. 74(C).
  30. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013. "Liquidity measurement in frontier markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 1-12.
  31. Jonathan A. Batten & Peter Morgan & Peter G. Szilagyi, 2015. "Time Varying Asian Stock Market Integration," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 60(01), pages 1-24.
  32. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2015. "Frontier market transaction costs and diversification," Journal of Financial Markets, Elsevier, vol. 24(C), pages 1-24.
  33. He, Hongbo & Chen, Yiqing & Wan, Hong & Yao, Shujie, 2023. "Possibility versus feasibility: International portfolio diversification under financial liberalization," International Review of Financial Analysis, Elsevier, vol. 87(C).
  34. Axel Grossmann & Emiliano Giudici & Marc Simpson, 2014. "Euro conversion and return dynamics of European financial markets: a frequency domain approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(1), pages 1-26, January.
  35. Patel, Ritesh & Goodell, John W. & Oriani, Marco Ercole & Paltrinieri, Andrea & Yarovaya, Larisa, 2022. "A bibliometric review of financial market integration literature," International Review of Financial Analysis, Elsevier, vol. 80(C).
  36. Charfeddine, Lanouar & Benlagha, Noureddine & Maouchi, Youcef, 2020. "Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors," Economic Modelling, Elsevier, vol. 85(C), pages 198-217.
  37. Zhang, Xiaoxiang & Zhang, Qiyu & Chen, Ding & Gu, Jun, 2019. "Financial integration, investor protection and imbalanced optimistically biased information timeliness in emerging markets," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 38-56.
  38. Azra Zaimovic & Adna Omanovic & Almira Arnaut-Berilo, 2021. "How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature," JRFM, MDPI, vol. 14(11), pages 1-30, November.
  39. Christiansen, Charlotte, 2014. "Integration of European bond markets," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 191-198.
  40. Qin, Weiping & Cho, Sungjun & Hyde, Stuart, 2022. "Measuring market integration during crisis periods," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
  41. Graham, Michael & Peltomäki, Jarkko & Piljak, Vanja, 2016. "Global economic activity as an explicator of emerging market equity returns," Research in International Business and Finance, Elsevier, vol. 36(C), pages 424-435.
  42. Chaiyuth Padungsaksawasdi & Robert T. Daigler, 2014. "The Return‐Implied Volatility Relation for Commodity ETFs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(3), pages 261-281, March.
  43. Yao, Shujie & He, Hongbo & Chen, Shou & Ou, Jinghua, 2018. "Financial liberalization and cross-border market integration: Evidence from China's stock market," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 220-245.
  44. Todea, Alexandru, 2016. "Cross-correlations between volatility, volatility persistence and stock market integration: the case of emergent stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 87(C), pages 208-215.
  45. Boako, Gideon & Alagidede, Paul, 2017. "Co-movement of Africa’s equity markets: Regional and global analysis in the frequency–time domains," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 359-380.
  46. Umutlu, Mehmet & Bengitöz, Pelin, 2020. "The cross-section of industry equity returns and global tactical asset allocation across regions and industries," International Review of Financial Analysis, Elsevier, vol. 72(C).
  47. Nguyen, Duc Khuong & Topaloglou, Nikolas & Walther, Thomas, 2020. "Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach," MPRA Paper 103870, University Library of Munich, Germany.
  48. Thomas Conlon & John Cotter & Ramazan Gençay, 2015. "Long-run international diversification," Working Papers 201502, Geary Institute, University College Dublin.
  49. George Milunovich & Jelena Minović, 2014. "Local and global illiquidity effects in the Balkans frontier markets," Applied Economics, Taylor & Francis Journals, vol. 46(31), pages 3861-3873, November.
  50. Guney, Yilmaz & Kallinterakis, Vasileios & Komba, Gabriel, 2017. "Herding in frontier markets: Evidence from African stock exchanges," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 47(C), pages 152-175.
  51. Galin K. Todorov, 2017. "Are International Portfolio Diversification Opportunities Decreasing? Evidence from Principal Component Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 639-661.
  52. Paul Chiou & Cheng-Few Lee, 2013. "Do investors still benefit from culturally home-biased diversification? An empirical study of China, Hong Kong, and Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 341-381, February.
  53. He, Hongbo & Chen, Shou & Yao, Shujie & Ou, Jinghua, 2015. "Stock market interdependence between China and the world: A multi-factor R-squared approach," Finance Research Letters, Elsevier, vol. 13(C), pages 125-129.
  54. Becker, Christoph & Schmidt, Wolfgang M., 2015. "How past market movements affect correlation and volatility," Journal of International Money and Finance, Elsevier, vol. 50(C), pages 78-107.
  55. Mukherji, Sandip & Jeong, Jin-Gil, 2021. "Long-term international diversification of equities," Global Finance Journal, Elsevier, vol. 50(C).
  56. Jarno Kiviaho & Jussi Nikkinen & Vanja Piljak & Timo Rothovius, 2014. "The Co†movement Dynamics of European Frontier Stock Markets," European Financial Management, European Financial Management Association, vol. 20(3), pages 574-595, June.
  57. Sudharshan Reddy Paramati & Rakesh Gupta & Kishore Tandon, 2016. "Dynamic analysis of time-varying correlations and cointegration relationship between Australia and frontier equity markets," International Journal of Business and Emerging Markets, Inderscience Enterprises Ltd, vol. 8(2), pages 121-145.
  58. Harry J. Turtle & Chengping Zhang, 2015. "Structural breaks and portfolio performance in global equity markets," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 909-922, June.
  59. Boryana Bogdanova, 2014. "Measuring the degree of integration within a group of stock markets," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 6, pages 26-46.
  60. Nikkinen, Jussi & Piljak, Vanja & Rothovius, Timo, 2020. "Impact of the 2008–2009 financial crisis on the external and internal linkages of European frontier stock markets," Global Finance Journal, Elsevier, vol. 46(C).
  61. Bley, Jorg & Saad, Mohsen, 2012. "Idiosyncratic risk and expected returns in frontier markets: Evidence from GCC," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 538-554.
  62. Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2015. "Regional and global spillovers and diversification opportunities in the GCC equity sectors," Emerging Markets Review, Elsevier, vol. 24(C), pages 160-187.
  63. Daugherty, Mary Schmid & Jithendranathan, Thadavillil, 2015. "A study of linkages between frontier markets and the U.S. equity markets using multivariate GARCH and transfer entropy," Journal of Multinational Financial Management, Elsevier, vol. 32, pages 95-115.
  64. Mimouni, Karim & Charfeddine, Lanouar & Al-Azzam, Moh'd, 2016. "Do oil producing countries offer international diversification benefits? Evidence from GCC countries," Economic Modelling, Elsevier, vol. 57(C), pages 263-280.
  65. Boamah, Nicholas Addai & Loudon, Geoffrey & Watts, Edward J., 2017. "Structural breaks in the relative importance of country and industry factors in African stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 79-88.
  66. Ramzi Benkraiem & Mondher Bouattour & Emilios Galariotis & Anthony Miloudi, 2021. "Do investors in SMEs herd? Evidence from French and UK equity markets," Small Business Economics, Springer, vol. 56(4), pages 1619-1637, April.
  67. Shahzad, Syed Jawad Hussain & Hernandez, Jose Areola & Rehman, Mobeen Ur & Al-Yahyaee, Khamis Hamed & Zakaria, Muhammad, 2018. "A global network topology of stock markets: Transmitters and receivers of spillover effects," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 2136-2153.
  68. Geoffrey Ngene & Kenneth A. Tah & Ali F. Darrat, 2017. "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, John Wiley & Sons, vol. 34(1), pages 61-73, September.
  69. Mo, Guoli & Tan, Chunzhi & Zhang, Weiguo & Liu, Fang, 2019. "International portfolio of stock indices with spatiotemporal correlations: Can investors still benefit from portfolio, when and where?," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 168-183.
  70. Mohti, Wahbeeah & Dionísio, Andreia & Vieira, Isabel & Ferreira, Paulo, 2019. "Financial contagion analysis in frontier markets: Evidence from the US subprime and the Eurozone debt crises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1388-1398.
  71. Wang, Jing & Zhou, Haigang, 2015. "Competition of trading volume among markets: Evidence from stocks with multiple cross-listing destinations," Journal of Multinational Financial Management, Elsevier, vol. 31(C), pages 23-62.
  72. Boamah, Nicholas Addai & Watts, Edward J. & Loudon, Geoffrey, 2017. "Financial crisis, the real sector and global effects on the African stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 88-96.
  73. Berk, Ales S. & Cummins, Mark & Dowling, Michael & Lucey, Brian M., 2017. "Psychological price barriers in frontier equities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 1-14.
  74. Guney, Yilmaz & Karpuz, Ahmet & Komba, Gabriel, 2020. "The effects of board structure on corporate performance: Evidence from East African frontier markets," Research in International Business and Finance, Elsevier, vol. 53(C).
  75. Lee, Hsiu-Chuan & Hsu, Chih-Hsiang & Lee, Yun-Huan, 2016. "Location of trade, return comovements, and diversification benefits: Evidence from Asian country ETFs," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 279-296.
  76. Mensi, Walid & Shahzad, Syed Jawad Hussain & Hammoudeh, Shawkat & Zeitun, Rami & Rehman, Mobeen Ur, 2017. "Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach," Emerging Markets Review, Elsevier, vol. 32(C), pages 130-147.
  77. Berger, Dave & Pukthuanthong, Kuntara, 2012. "Market fragility and international market crashes," Journal of Financial Economics, Elsevier, vol. 105(3), pages 565-580.
  78. Boamah, Nicholas Addai & Watts, Edward J. & Loudon, Geoffrey, 2016. "Investigating temporal variation in the global and regional integration of African stock markets," Journal of Multinational Financial Management, Elsevier, vol. 36(C), pages 103-118.
  79. Jonathan A. Batten & Peter G. Szilagyi & Wagner, 2015. "Should emerging market investors buy commodities?," Applied Economics, Taylor & Francis Journals, vol. 47(39), pages 4228-4246, August.
  80. Lai, Wan-Ni, 2016. "Do academic investment insights benefit society?," Research in International Business and Finance, Elsevier, vol. 38(C), pages 172-176.
  81. Economou, Fotini & Gavriilidis, Konstantinos & Kallinterakis, Vasileios & Yordanov, Nikolay, 2015. "Do fund managers herd in frontier markets — and why?," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 76-87.
  82. ATM Adnan & Sameer Al Johani, 2023. "Stock Market Reaction to COVID-19: A Cross-Sectional Industry Analysis in Frontier Market," IIM Kozhikode Society & Management Review, , vol. 12(2), pages 157-181, July.
  83. Boamah, Nicholas Addai, 2017. "The dynamics of the relative global sector effects and contagion in emerging markets equity returns," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 433-453.
  84. repec:ipg:wpaper:2014-062 is not listed on IDEAS
  85. Xiaomeng Ma & Dong Zou & Chuanchao Huang & Shuliang Lv, 2020. "China’s growing influence and risk in Asia–Pacific stock markets: evidence from spillover effects and market integration," Risk Management, Palgrave Macmillan, vol. 22(4), pages 338-361, December.
  86. Thomas, Nisha Mary & Kashiramka, Smita & Yadav, Surendra Singh & Paul, Justin, 2022. "Role of emerging markets vis-à-vis frontier markets in improving portfolio diversification benefits," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 95-121.
  87. Francis, Bill B. & Hunter, Delroy M. & Kelly, Patrick J., 2020. "Do foreign investors insulate firms from local shocks? Evidence from the response of investable firms to monetary policy," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 386-411.
  88. Chuluun, Tuugi, 2017. "Global portfolio investment network and stock market comovement," Global Finance Journal, Elsevier, vol. 33(C), pages 51-68.
  89. Linn Arnell & Emma Engström & Gazi Salah Uddin & Md. Bokhtiar Hasan & Sang Hoon Kang, 2023. "Volatility spillovers, structural breaks and uncertainty in technology sector markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-31, December.
  90. Piljak, Vanja, 2013. "Bond markets co-movement dynamics and macroeconomic factors: Evidence from emerging and frontier markets," Emerging Markets Review, Elsevier, vol. 17(C), pages 29-43.
  91. Mensi, Walid & Rehman, Mobeen Ur & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2023. "Frequency dependence between oil futures and international stock markets and the role of gold, bonds, and uncertainty indices: Evidence from partial and multivariate wavelet approaches," Resources Policy, Elsevier, vol. 80(C).
  92. Newaz, Mohammad Khaleq & Park, Jin Suk, 2019. "The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 79-94.
  93. Zaremba, Adam & Maydybura, Alina, 2019. "The cross-section of returns in frontier equity markets: Integrated or segmented pricing?," Emerging Markets Review, Elsevier, vol. 38(C), pages 219-238.
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