[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/eme/ijmfpp/v11y2015i1p97-116.html
   My bibliography  Save this article

Looking at new markets for international diversification: frontier markets

Author

Listed:
  • Aswini Sukumaran
  • Rakesh Gupta
  • Thadavilil Jithendranathan
Abstract
Purpose - – The purpose of this paper is to examine whether there exist significant benefits from diversification into frontier markets for an Australian investor in comparison to a US investor. Design/methodology/approach - – The study uses the computationally efficient ADCC GARCH model to estimate time-varying correlations of returns. The authors also compare the results to DCC GARCH correlations in order to test whether the results are model-specific. Optimal portfolios with several restrictions were constructed and the results from Australian and US investors were compared. The study also uses a holding out period that is rebalanced at the end of each quarter using new portfolio weights. Findings - – The study finds that there are significant benefits for the Australian investor from diversifying into frontier markets. However, the benefits to the US investor are much higher than that of an Australian investor. The results from the holding out period also present significantly higher benefits to the US investor compared to the Australian investor. Originality/value - – This study examines the diversification benefits to the Australian investor from frontier markets and compares the benefits of the Australian and the US investors. The results emphasise the potential benefits from including frontier markets in the portfolio. The paper also presents a holding out period analysis.

Suggested Citation

  • Aswini Sukumaran & Rakesh Gupta & Thadavilil Jithendranathan, 2015. "Looking at new markets for international diversification: frontier markets," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 11(1), pages 97-116, February.
    • Handle: RePEc:eme:ijmfpp:v:11:y:2015:i:1:p:97-116
    DOI: 10.1108/IJMF-05-2013-0057
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/IJMF-05-2013-0057/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/IJMF-05-2013-0057/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/IJMF-05-2013-0057?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. Imtiaz Arif, Ather Iqbal, Syed Farasat Ali, Amna Sohail, 2017. "International Stock Market Diversification among BRICS-P: A Cointegration Analysis," Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, vol. 4(2), pages 269-285, October.
    3. 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).
    4. 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.
    5. 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.
    6. 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.
    7. 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).
    8. Beini Guo & Oyakhilome Ibhagui, 2019. "China–Africa stock market linkages and the global financial crisis," Journal of Asset Management, Palgrave Macmillan, vol. 20(4), pages 301-316, July.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:ijmfpp:v:11:y:2015:i:1:p:97-116. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.