Handbook of Frontier Markets: The African, European and Asian Evidence

Editor/Author Andrikopoulos, Panagiotis
Publication Year: 2016
Publisher: Elsevier Science & Technology

Single-User Purchase Price: $138.00
Unlimited-User Purchase Price: $207.00
ISBN: 978-0-12-803776-8
Category: Business, Finance & Economics - Economics
Image Count: 20
Book Status: Available
Table of Contents

This helpful handbook provides novel insight and perspective from leading academics to explain the behavior of investors and prices in the African, European and Asian frontier markets and help ensure that increasing international investment will, in fact, facilitate their integration within the global financial system.

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Table of Contents

  • List of Contributors
  • About the Editors
  • About the Contributors
  • Acknowledgment
  • Section A Africa
  • 1. Testing for the Weak-Form Market Efficiency of the Dar es Salaam Stock Exchange - Y. Guney, G. Komba
  • 1 Introduction
  • 2 The Random Walk Theory and the Efficient Market Hypothesis
  • 3 Empirical Literature Review on Weak-Form Market Efficiency
  • 4 Data Sources
  • 5 Methodology
  • 5.1 Augmented Dickey–Fuller Test
  • 5.2 The Variance Ratio Test
  • 5.3 Ranks- and Signs-Based Variance Ratio Tests
  • 6 Analyses and Presentation of the Results
  • 6.1 Descriptive Statistics and Diagnostics
  • 6.2 Augmented Dickey–Fuller Test Results
  • 6.3 Variance Ratio Test Results
  • 6.4 Ranks- and Signs-Based Variance Ratio Tests
  • 6.5 Summary of the Findings
  • 7 Conclusions and Recommendations
  • References
  • 2. Stock Returns and Inflation: The Case of Botswana - K. Gavriilidis, L.M. Kgari
  • 1 Introduction
  • 2 Literature Review
  • 3 Overview of the Economy of Botswana
  • 4 Data and Methodology
  • 4.1 Data
  • 4.2 Methodology
  • 5 Results
  • 6 Conclusions
  • References
  • 3. Modeling and Forecasting Stock Market Volatility in Frontier Markets: Evidence From Four European and Four African Frontier Markets - D.S. Kambouroudis
  • 1 Introduction
  • 2 Background Information
  • 2.1 Importance of Volatility Forecasting
  • 2.2 Emerging Markets or Country Samples
  • 2.3 Modeling of Volatility Forecasting
  • 3 Data
  • 4 Methodology
  • 4.1 ARCH Effects
  • 4.2 Generalized Autoregressive Conditional Heteroscedasticity (GARCH)
  • 4.3 Exponential GARCH (EGARCH)
  • 4.4 Component GARCH (CGARCH)
  • 4.5 Comparisons of Forecast Performance
  • 5 Findings and Discussions
  • 6 Conclusions and Further Research
  • References
  • 4. Herd Behavior in Frontier Markets: Evidence From Nigeria and Morocco - F. Economou
  • 1 Introduction
  • 2 Methodology and Data
  • 2.1 Methodology
  • 2.2 Data
  • 3 Empirical Results
  • 4 Conclusions
  • References
  • 5. Effects of Interest Rates and Exchange Rates on Bank Stock Returns - E. Katsikas, S. Brahma, S.M. Wangeci
  • 1 Introduction
  • 1.1 Data and Methodology
  • 1.2 Results and Analysis
  • 2 Conclusions
  • References
  • 6. Financial Contagion From US to African Frontier Markets During the 2007-09 Global Financial Crisis - J. Ahmadu-Bello, T. Rodgers
  • 1 Introduction, Aims, and Literature
  • 2 Data and Descriptive Statistics
  • 2.1 Data Sources and Descriptive Statistics
  • 3 Hypotheses and Methodology
  • 3.1 Hypothesis 1
  • 3.2 Hypothesis 2
  • 3.3 Methodology
  • 3.4 Robustness Testing
  • 4 Results
  • 4.1 Robustness Tests
  • 5 Discussions
  • 5.1 Decision Fatigue in Africa
  • 5.2 Loss Aversion in Developed Markets
  • 6 Conclusions
  • References
  • Appendix 1: Time-Varying Correlations of US with African Markets
  • Appendix 2: Time-Varying Correlations of US with Developed Markets
  • Section B Europe
  • 7. An Assessment of the Real Development Prospects of the EU 28 Frontier Equity Markets - C. Pop, D. Bozdog, A. Calugaru, M.A. Georgescu
  • 1 Introduction
  • 2 A Comparative Analysis of the EU 10 Frontier Markets
  • 3 Hypothesis, Data, and Research Results
  • 3.1 The Granger Causality for Testing Hypothesis 1 and 1 Modified
  • 3.2 Historic Betas for Testing Hypothesis 2
  • 4 Discussions and Conclusions
  • 4.1 Discussions
  • 4.2 Conclusions
  • References
  • 8. Are European Frontier Markets Efficient? - D. Bond, K. Dyson
  • 1 Introduction
  • 2 The Theory of Informational Market Efficiency
  • 3 The Empirical Literature on Frontier Markets and Informational Efficiency
  • 3.1 Informational Efficiency and Frontier Markets
  • 4 Methodology
  • 5 Overview of Eastern European Markets and Sample Selection
  • 5.1 Eastern European Markets
  • 5.2 Sample Selection
  • 6 Results
  • 7 Conclusions and Recommendations
  • References
  • 9. Another Look at Financial Analysts' Forecasts Accuracy: Recent Evidence From Eastern European Frontier Markets - A. Coën, A. Desfleurs
  • 1 Introduction
  • 2 Conceptual Framework
  • 2.1 Financial Analysts’ Forecast Accuracy
  • 2.2 Financial Analysts’ Forecast Bias
  • 3 Data and Methodology
  • 3.1 Data
  • 3.2 FAF Accuracy on Eastern European Frontier Markets
  • 3.3 FAF Bias on Eastern European Frontier Markets
  • 3.4 FAF by Subperiods and Types of Earnings
  • 4 Analysis of FAF on Eastern European Frontier Markets
  • 4.1 Analysis of FAF Accuracy
  • 4.2 Analysis of FAF Bias
  • 4.3 Analysis of the Evolution of FAFE by Types of Earnings
  • 5 Conclusions
  • References
  • 10. Are There Herding Patterns in the European Frontier Markets? - N. Blasco, P. Corredor, S. Ferreruela
  • 1 Introduction
  • 2 Database
  • 3 Methodology
  • 3.1 CH and CCK Methods
  • 3.2 Gephi Proposal
  • 4 Empirical Results
  • 4.1 Descriptive Statistics
  • 4.2 Evidence on Herding: CH and CCK Methods
  • 4.3 Evidence of Herding: Gephi
  • 5 Conclusions
  • Acknowledgment
  • References
  • Section C Asia
  • 11. Is Bankruptcy a Systematic Risk? Evidence From Vietnam - T. Chaiyakul, K. Bangassa, M. Iskandrani
  • 1 Introduction
  • 2 Literature Review
  • 3 Research Design, Data, and Methodology
  • 4 Results of Analysis and Discussion of Findings
  • 5 Conclusions and Recommendations
  • References
  • 12. Investors' Herding in Frontier Markets: Evidence From Mongolia - A. Erdenetsogt, V. Kallinterakis
  • 1 Introduction
  • 2 Mongolian Stock Exchange: A Brief Overview
  • 3 Data and Methodology
  • 4 Results and Conclusion
  • References
  • 13. Structural Breaks, Efficiency, and Volatility: An Empirical Investigation of Southeast Asian Frontier Markets - P. Andrikopoulos, D.L.T. Anh, M.K. Newaz
  • 1 Introduction
  • 2 Literature Review
  • 3 Data and Methodology
  • 3.1 The Data
  • 3.2 Tests for Randomness
  • 3.3 Structural Breaks, Long Memory Dynamics, and Test for Volatility
  • 4 Empirical Results
  • 4.1 Results From Randomness Tests
  • 4.2 Results on Structural Breaks and Volatility
  • 5 Conclusions
  • References