دراسات اقتصادية
Volume 4, Numéro 2, Pages 931-956
2017-06-30
The Role Of Semi-emergent Markets In The Diversification Of Investment Econometric Study
الكاتب : Khiari Imen . Boudah Abdeljalil .
الملخص
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.
الكلمات المفتاحية
Frontier Markets, port-folio investment, International di-versification, Dynamic conditional correlation.
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