The role of semi-emergent markets in the diversification of investment Econometric study

Khiari Imen; Boudah Abdeljalil

Article Details

The role of semi-emergent markets in the diversification of investment Econometric study

Authors:

Khiari Imen | Boudah Abdeljalil

Publisher:

Université de Constantine 2

Journal:

دراسات اقتصادية Vol.4 Issue 2, pp.931-956

Document Type:

Article

Publication Date:

6/2017

Document Language:

Arabic

Document ID (Org No.):

2001422035

pISSN:

2588-1604

Keywords:

Abstract:

 This study aims to measure the po-tentiality of frontier markets that would be providing the American's investor with more gains as a result to portfolio diversification criteria. The way the idea might be achieved is based on testing the sensitivity of returns regarding frontier markets' fluctuations compared to that of S&P 500, and also with other invest-ment classes working in emerging and developed markets for the same purpose. The study uses Multivari-ate generalized autoregressive con-ditional heteroskedasticity (MV-GARCH), and focuses on a Dy-namic Conditional Correlation (DCC) that has been approached by (Engle, 2002). Based on that, daily re-turns for 18 Stock markets during the period between 2005 and 2013 have been used for the measure-ment. In conclusion, the findings show that a well diversified portfo-lio in frontier markets is beneficial for an American investor, because of the nearly non-existent integration observed between frontier markets and the S&P 500 index.

Article Details

The role of semi-emergent markets in the diversification of investment Econometric study

Authors:

Khiari Imen | Boudah Abdeljalil

Publisher:

Université de Constantine 2

Journal:

دراسات اقتصادية Vol.4 Issue 2, pp.931-956

Document Type:

Article

Publication Date:

6/2017

Document Language:

Arabic

Document ID (Org No.):

2001422035

pISSN:

2588-1604

Frontier Markets

port-folio investment

International di-versification

Dynamic conditional correlation

Issues

Article Details

The role of semi-emergent markets in the diversification of investment Econometric study

Authors: Khiari Imen | Boudah Abdeljalil

Publisher: Université de Constantine 2

Journal: دراسات اقتصادية Vol.4 Issue 2, pp.931-956

Document Type: Article

Publication Date: 6/2017

Document Language: Arabic

Document ID (Org No.): 2001422035

pISSN: 2588-1604

Frontier Markets

port-folio investment

International di-versification

Dynamic conditional correlation

Issues

Authors:

Khiari Imen | Boudah Abdeljalil

Publisher:

Université de Constantine 2

Journal:

دراسات اقتصادية Vol.4 Issue 2, pp.931-956

Document Type:

Article

Publication Date:

6/2017

Document Language:

Arabic

Document ID (Org No.):

2001422035

pISSN:

2588-1604