RT Journal Article
SR Electronic
T1 Dynamic Linkages and Volatility Transmission from
Global Equity Markets to Frontier Equity Markets of
the Middle East and Africa
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 62
OP 82
DO 10.3905/jwm.2017.20.1.062
VO 20
IS 1
A1 Akash Dania
A1 Ramin Maysami
YR 2017
UL https://pm-research.com/content/20/1/62.abstract
AB Frontier markets, or pre-emerging markets, represent a diverse group of equity markets of small and developing nations that typically exhibit a higher macroeconomic risk profile and lower levels of liquidity and market capitalization in comparison to the equity markets of emerging or developed economies. These differences in market characteristics create diversification opportunities for investment and portfolio management purposes. The objective of this article is to model the dynamics of volatility transmission from the mature global stock markets of France, Germany, the United Kingdom, and the United States to the frontier markets of Africa and the Middle East. VAR and GARCH models of returns are estimated to determine evidence of interdependence and volatility spillover from global mature stock markets to the frontier stock markets of Africa and the Middle East. The evidence reported is mixed, suggesting a varying level of volatility spillover and the leverage effect. This varying response to global stock market shocks reveals that frontier nation stock markets are not yet fully integrated with the global economy.TOPICS: Frontier, security analysis and valuation, portfolio construction, statistical methods