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Practical Applications

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Practical Applications of Is the Diversification Benefit of Frontier Markets Realizable by Mean-Variance Investors? The Evidence of Investable Funds

Dave Berger, Kuntara Pukthuanthong, J. Jimmy Yang and Gauri Goyal
Practical Applications Summer 2014, 2 (1) DOI: https://doi.org/10.3905/pa.2014.2.1.057
Dave Berger
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Kuntara Pukthuanthong
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J. Jimmy Yang
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Gauri Goyal
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Is the Diversification Benefit of Frontier Markets Realizable by Mean-Variance Investors? The Evidence of Investable Funds Dave Berger Kuntara Pukthuanthong J. Jimmy Yang

Abstract

Do frontier markets—which by definition are relatively small and illiquid and have high transaction costs—offer real benefits for investors interested in international diversification?

Expanding on their 2011 work on frontier markets, authors Dave Berger , J. Jimmy Yang (both of Oregon State University ) and Kuntara Pukthuanthong ( San Diego State University ) look at empirical evidence for the diversification benefits of investable, frontier exchange-traded funds (ETFs). Their findings are presented in Is the Diversification Benefit of Frontier Markets Realizable by Mean-Variance Investors? The Evidence of Investable Funds , published in the Summer 2013 issue of The Journal of Portfolio Management .

Most of the existing research looks at indices and how they have performed in the relatively small and illiquid frontier markets. The results show the frontier markets are segmented from what the rest of the world is doing, offering global investors real diversification benefit.

TOPICS: Exchange-traded funds and applications, volatility measures, in markets

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Practical Applications of Is the Diversification Benefit of Frontier Markets Realizable by Mean-Variance Investors? The Evidence of Investable Funds
Dave Berger, Kuntara Pukthuanthong, J. Jimmy Yang
Practical Applications Jul 2014, 2 (1) DOI: 10.3905/pa.2014.2.1.057

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Practical Applications of Is the Diversification Benefit of Frontier Markets Realizable by Mean-Variance Investors? The Evidence of Investable Funds
Dave Berger, Kuntara Pukthuanthong, J. Jimmy Yang
Practical Applications Jul 2014, 2 (1) DOI: 10.3905/pa.2014.2.1.057
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