دور أسواق الأوراق المالية شبه الناشئة في تنويع المحفظة الاستثمارية : دراسة قياسية

Abstract EN

This study aims to measure the potentiality 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 investment classes working in emerging and developed markets for the same purpose.

The study uses Multivariate generalized autoregressive conditional heteroskedasticity (MV-GARCH ), and focuses on a Dynamic Conditional Correlation (DCC) that has been approached by (Engle, 2002).

Based on that, daily returns for 18 Stock markets during the period between 2005 and 2013 have been used for the measurement.

In conclusion, the findings show that a well diversified portfolio 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.