Handbook of Frontier Markets Evidence from Middle East North Africa and International Comparative Studies Edited by P. Andrikopoulos Coventry Business School Coventry, United Kingdom G.N. Gregoriou State University of New York (Plattsburgh) School of Business and Economics Plattsburgh, NY, United States V. Kallinterakis University of Liverpool Management School Liverpool, United Kingdom AMSTERDAM • BOSTON • HEIDELBERG • LONDON NEW YORK • OXFORD • PARIS • SAN DIEGO SAN FRANCISCO • SINGAPORE • SYDNEY • TOKYO Academic Press is an imprint of Elsevier Academic Press is an imprint of Elsevier 125 London Wall, London EC2Y 5AS, United Kingdom 525 B Street, Suite 1800, San Diego, CA 92101-4495, United States 50 Hampshire Street, 5th Floor, Cambridge, MA 02139, United States The Boulevard, Langford Lane, Kidlington, Oxford OX5 1GB, United Kingdom Copyright © 2016 Elsevier Inc. All rights reserved. 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Library of Congress Cataloging-in-Publication Data A catalog record for this book is available from the Library of Congress British Library Cataloguing-in-Publication Data A catalogue record for this book is available from the British Library ISBN: 978-0-12-809200-2 For information on all Academic Press publications visit our website at https://www.elsevier.com/ Publisher: Nikki Levy Acquisition Editor: Scott J. Bentley Editorial Project Manager: Susan Ikeda Production Project Manager: Jason Mitchell Designer: Mark Rogers Typeset by Thomson Digital List of Contributors A. Al-Maadid Department of Economics and Finance, Brunel University, London, United Kingdom; College of Business and Economics, Qatar University, Doha, Qatar P. Andrikopoulos Coventry Business School, Coventry, United Kingdom E.L. Black Cascade Cash Management, Newcastle Upon Tyne, United Kingdom A. Burchi Department of Economics, University of Perugia, Perugia, Italy N. Demir† Bilkent University, Department of Banking and Finance, Bilkent, Ankara, Turkey H. Ezzat Maastricht University, School of Business, Maastricht, The Netherlands G. Galindo Russell Investments, New York, NY, United States G. Giorgioni University of Liverpool Management School, Liverpool, United Kingdom G.N. Gregoriou State University of New York (Plattsburgh), School of Business and Economics, Plattsburgh, NY, United States H.G. Keefe Department of Economics, Fairfield University, Fairfield, CT; Center for International Policy Studies (CIPS), Fordham University, New York, NY, United States S.K. Kok University of Wolverhampton Business School, Wolverhampton, United Kingdom R. McFall Lamm, Jr. Stelac Advisory Services LLC, New York, NY, United States D. Martelli Department of Economics, University of Perugia, Perugia, Italy J. Niklewski Coventry Business School, Coventry University, Coventry, United Kingdom S. Nogare Accenture, New York City, NY, United States M. Orhan Department of Economics, Fatih University, Istanbul, Turkey Y. Oskenbayev Department of Economics, Suleyman Demirel University; Department of Economics and Finance, Kazakh-British Technical University, Almaty, Kazakhstan S. Patra Department of Economics, Finance and Accounting, Business School, Coventry University, Coventry, United Kingdom Z. Qin Lancaster University Management School, Lancaster, United Kingdom E.W. Rengifo Department of Economics and the Center for International Policy Studies (CIPS), Fordham University, New York, NY, United States †Deceased xi xii List of Contributors T. Rodgers Coventry Business School, Coventry University, Coventry, United Kingdom B. Sabdenaliyev University of International Business, Almaty, Kazakhstan M.N. Solakoglu Bilkent University, Department of Banking and Finance, Bilkent, Ankara, Turkey F. Spagnolo Department of Economics and Finance, Brunel University, London, United Kingdom N. Spagnolo Department of Economics and Finance, Brunel University, London, United Kingdom A. Spiru Lancaster University Management School, Lancaster, United Kingdom S. Tanna Department of Economics, Finance and Accounting, Business School, Coventry University, Coventry, United Kingdom R. Trendafilov Center for International Policy Studies (CIPS), Fordham University, New York; St. Thomas Aquinas College School of Business, Sparkill, NY, United States B.K. Uludag Dokuz Eylül University, Faculty of Business, Izmir, Turkey E. Vagenas-Nanos University of Glasgow, Glasgow, United Kingdom A. Vivian School of Business and Economics, Loughborough University, Loughborough, United Kingdom M. Wu Clarkson University, Potsdam, NY, United States I. Yousef Department of Economics, Finance and Accounting, Business School, Coventry University, Coventry, United Kingdom About the Editors Dr Panagiotis Andrikopoulos is the Associate Head of School (Research) for the School of Economics, Finance and Accounting at Coventry Business School. Prior to joining Coventry University, Dr Andrikopoulos was a Read- er in Finance at Leicester Business School (De Montfort University, United Kingdom) where he taught various finance courses such as investment theory and analysis, finance theory, corporate finance, and behavioral finance. Dur- ing the period 2012–15, he has also been an Extraordinary (Adjunct) Associ- ate Professor in Finance for the School of Accounting Sciences at North-West University of South Africa. He obtained his PhD in finance at the University of Portsmouth. Dr Andrikopoulos’s research interests lie in the areas of corpo- rate finance, market efficiency, empirical asset pricing, and behavioral finance, subjects on which he has widely published in various academic journals of in- ternational standing, such as the Journal of Business, Finance and Accounting, the Accounting Forum, the European Journal of Finance, Review of Behavioral Finance and Journal of Economics and Business. He currently serves as a panel member of various editorial and/or scientific advisory boards and has also been a frequent contributor to a wide range of international conferences. Greg N. Gregoriou, a native of Montreal, obtained his joint PhD in finance at the University of Quebec at Montreal, which merges the resources of Montreal’s four major universities—McGill, Concordia, UQAM, and HEC. Professor Gregoriou is Professor of Finance at the State University of New York (Plattsburgh) and has taught a variety of finance courses such as Alterna- tive Investments, International Finance, Money and Capital Markets, Portfolio Management, and Corporate Finance. He has also lectured at the University of Vermont, the University of Navarra, and the University of Quebec at Mon- treal. Professor Gregoriou has published 50 books, 65 refereed publications in peer-reviewed journals, and 24 book chapters since his arrival at SUNY Platts- burgh in Aug. 2003. His books have been published by McGraw-Hill, John Wiley & Sons, Elsevier–Butterworth/Heinemann, Taylor & Francis/CRC Press, Palgrave Macmillan, and Risk Books. Four of his books have been translated into Chinese and Russian. His academic articles have appeared in well-known peer-reviewed journals such as the Review of Asset Pricing Studies, Journal of Portfolio Management, Journal of Futures Markets, European Journal of Operational Research, Annals of Operations Research, and Computers and Operations Research. Professor Gregoriou is the derivatives editor and edito- rial board member for the Journal of Asset Management as well as an edito- rial board member for the Journal of Wealth Management, the Journal of Risk xiii xiv About the Editors Management in Financial Institutions, Market Integrity, IEB International Journal of Finance, and the Brazilian Business Review. His interests focus on hedge funds, funds of funds, commodity trading advisors, managed futures, venture capital, and private equity. He has also been quoted several times in the New York Times, Barron’s, the Financial Times of London, Le Temps (Geneva), Les Echos (Paris), and L’Observateur de Monaco. He has done consulting work for numerous clients and investment firms in Montreal. He is a part-time lec- turer in finance at McGill University, an advisory member of the Markets and Services Research Centre at Edith Cowan University in Joondalup (Australia), a senior advisor to the Ferrell Asset Management Group in Singapore, and a research associate with the University of Quebec at Montreal’s CDP Capital Chair in Portfolio Management. In addition, he is a fellow at Hefei University of Technology at the Research Center for Operations & Productivity Manage- ment, in Hefei, China. Vasileios (Bill) Kallinterakis is currently Lecturer of Finance at the Uni- versity of Liverpool Management School; he has also lectured at Durham University Business School (from where he also obtained his PhD) and Leeds University Business School. During his career, he has taught a variety of courses related to behavioral finance, corporate finance, and econometrics. His research interests focus on behavioral finance, institutional investors, market volatility, and emerging markets. To date, he has published a series of academic articles in peer-reviewed journals, including the European Financial Management Journal, the Journal of International Financial Markets, Institutions & Money, the International Review of Financial Analysis, and the Review of Behavioral Finance. He has contributed to the Wiley Encyclopedia of Management and has served as ad hoc referee to research projects submitted to the National Stock Exchange of India. He is currently a member of the editorial board of several peer-reviewed journals (Economic Analysis, International Business Research, and International Journal of Economics and Finance). About the Contributors Alanoud Al-Maadid is a member of Business Analytics Research Group (BARG), Lecturer in Qatar University, and PhD candidate at Brunel University, London (2016). Research interests include empirical econometrics, the Gulf Cooperation Council (GCC) region, and food economics. Emma L. Black, PhD, is Managing Director at Cascade Cash Management in London, United Kingdom. She has been at Newcastle University Business School since 2012 after joining from Durham University. She is Deputy Direc- tor of postgraduate taught programmes at the Business School and is involved in the strategic development of new offerings, including the Global MBA and International Management programmes. She is actively involved in executive education and engagement at the school, securing significant relationships with professional bodies, notably the Chartered Institute for Securities and Invest- ment (CISI) and the CFA society. This has been achieved due to her industry presence where she is a FCA-regulated CF30 Professional Financial Adviser. Emma is a published academic with research related to outward investment from China, and an active speaker at industry events with Citywire related to global emerging markets (within which frontier markets are classified). Alberto Burchi is Assistant Professor of Financial Markets at the University of Perugia, Italy. His doctoral degree is from the Alma Mater Studiorum-University of Bologna. Dr Burchi’s research interests include hedge funds, financial innova- tion, emerging markets, risk valuation, asset management, law and finance, and credit risk valuation. Prior to joining the faculty at the University of Perugia, he was assistant professor at SDA Bocconi School of Management. Nazmi Demir† received his MSc and PhD from the University of California, Davis, in agricultural economics in 1970 and his associate professorship in eco- nomic policy in Turkey in 2000. He has specialized in Leontief input–output, inefficiency models, herd behavior in equity markets, and the economics of environment and agriculture. He has been a board member of various interna- tional research centers for 18 years. After long-term government employment in Turkey at high positions in various departments such as development planning, agrarian reform, and administrative duties, he joined Bilkent University in the department of economics as an instructor first and then as a chairman of the banking and finance department, teaching microeconomics and macroeconom- ics, statistics, banking and finance, and computerized financial applications. He has published book chapters and articles in journals such as Developing †Deceased xv xvi About the Contributors Economies, Economic Letters, Applied Economic Letters, Canadian Journal of Agricultural Economics, and Economic Systems Research. Dr. Demir passed away in March 2016. Hassan Ezzat received his doctorate of business administration in econom- ics from Maastricht School of Management in the Netherlands. With 20 years of experience in management consulting, Dr Ezzat has helped organizations in the fields of banking, food processing, manufacturing, and information technology to overcome their weaknesses and build upon their strengths to achieve success. He also worked as Director of Research at a portfolio management firm during the launch of the privatization program by the Egyptian Capital Market Author- ity. He has published in international journals, and his current research projects include market efficiency, as well as volatility transmission in the Middle East and North Africa (MENA region). Gustavo Galindo is a senior portfolio manager on Russell Investments’ Emerging Markets Equity Team. Based in New York, he is the primary portfo- lio manager for North American–based emerging markets funds, as well as the Russell Frontier Markets Equity Fund. He is also the back-up portfolio manager for Dublin-domiciled emerging markets portfolios and the Russell China A fund offering. Prior to becoming a portfolio manager in 2011, Gustavo was a senior research analyst focused on emerging markets for 6 years; in this role, his main function was identifying emerging markets equity managers with the ability to achieve superior performance over time. Prior to joining the Russell emerging markets team in 2005, he worked in a similar function analyzing global devel- oped markets money managers since 2003. Before Russell, he worked for 2 years in private equity and consulting in Mexico City, where he received significant exposure to global investors and company management teams. His responsibili- ties included company due diligence and valuation utilizing quantitative models. Gianluigi Giorgioni is a Lecturer in Economics and Finance at University of Liverpool. His research interests are focused on Islamic finance, the relationship between finance and economic growth, and the empirical assessment of the rela- tive benefits of different sources of finance with particular emphasis on FDI in the context of emerging markets and the determinants and consequences of disclosure. Helena Glebocki Keefe has a PhD in economics from Fordham University, with a specialization in international economics and finance. Her research in- terests focus on emerging market economies, currency markets and exchange rates, financial development and integration, and international financial mar- kets. She has worked as a consultant and analyst in the financial services indus- try, and maintains an active research agenda in her field of specialization. Seng Kiong Kok is a Lecturer in International Finance at the Wolverhampton University Business School. His research interests are focused on risk man- agement, financial product design, and exploring the development of Islamic finance and its acceptance in today’s economic spectrum. R. McFall Lamm, Jr, is the Chief Investment Officer at Stelac Advisory Services LLC and former chief investment strategist and managing director at Deutsche Bank and Bankers Trust Company. Dr. Lamm has more than 20 years’ About the Contributors xvii experience in managing investment portfolios and market analysis, is well known for his expertise in asset allocation and alternative investing, and speaks frequently at public conferences and media events. He has written extensively about various investment topics in numerous professional journal articles and book chapters, and is the author of Monthly Investment Strategy. Duccio Martelli, PhD, is Assistant Professor of Financial Markets at the University of Perugia (Italy) and Adjunct Professor of Finance at the Univer- sity of Applied Sciences of Augsburg in Germany. He is also a summer school instructor at Harvard University. His main research interests are behavioral and neuro finance, real estate, and asset management. Jacek Niklewski is a Senior Lecturer in Finance and an Academic Course Director of the BA (Honors) Business and Finance degree in the department of Economics, Finance, and Accounting at Coventry University in the United King- dom. His interests and contributions to various areas of research and teaching can be attributed to his diverse education. His research focuses on internation- al financial markets, portfolio management, multivariate GARCH modeling, housing markets, corporate social responsibility, and banking efficiency, and he has produced a number of publications in these areas. His teaching experience is in econometrics, bond markets, investment analysis, and financial management. During his career he has also supervised a significant number of undergraduate and postgraduate dissertations. Simone Nogare is currently a Senior Analyst at Accenture. His role, in the IGEM Financial Service department of the company, is to analyze and develop major financial deals (greater than USD 20 million) with the purpose to support banks and insurance companies in the implementation of future strategies. He holds an MSc in finance with distinction from Durham University and earned the best performance award among all the students in the MSc programs. His main interests lie within portfolio management, financial risk management, and market behavior. He previously studied at the University of Trieste, obtaining a BSc in economics of financial and insurance markets. Moreover, he has previ- ous experience in the insurance industry working in Allianz. Mehmet Orhan is a professor at the Economics Department of Fatih Uni- versity, Istanbul. He earned his PhD from Bilkent University, Ankara, and had graduated from Industrial Engineering Department of the same university. His main interest is econometrics, both theoretical and applied. He has published ar- ticles in Economics Letters, Applied Economics, Emerging Markets Finance and Trade, and Expert Systems with Applications, among others. Furthermore, he has had research articles published as book chapters by McGraw-Hill, Elsevier, John Wiley & Sons, Palgrave, and others. His theoretical research interests include heteroscedasticity consistent covariance matrix estimator (HCCME) estimation, robust estimation techniques, and Bayesian inference. Besides, he has conducted research on risk analysis based on value at risk (VaR) models, initial public offer- ing (IPO) performances, hedge fund returns, tax revenue estimation, credit rating agencies, spillover effects with GARCH specification, and inflation expectation as part of his applied research studies. xviii About the Contributors Yessengali Oskenbayev is an instructor at the Economics Department of Suleyman Demirel University in Almaty, Kazakhstan. He has been pursuing his PhD at the Center for Development Research, Bonn. His main interests are economic development, resource endowments, institutions, and economic growth. He has published articles in Economic Systems, Romanian Journal of Economic Forecasting, Modern Economy, and others. Sudip Patra is currently an Assistant Lecturer in Finance at Coventry Univer- sity Business School in the United Kingdom. Current teaching responsibilities include undergraduate and master’s module in the areas of econometrics, eco- nomic modeling, and corporate finance theory, as well as dissertation supervision. Research interests encompass dividend signaling theory under information asymmetry, game theory for applied corporate finance, econometric modeling, and allied areas. Research activity involves producing academic papers in cor- porate finance and signaling in mergers and acquisitions with senior coauthors at Coventry University, some of which have been presented in peer-reviewed conferences, including BAFA, LSE, FEBS, and the University of Surrey. Sudip is currently pursuing a PhD in finance at Glasgow University. Zhu Qin is Professor at Lancaster University Management School, I Bailrigg, Lancaster, United Kingdom. Erick W. Rengifo is an Associate Professor in the Economics Department at Fordham University. Professor Rengifo is an active scholar with interests in market microstructure, behavioral finance, risk management, insurance, microfinance, microinsurance, and econometrics. He is a private consultant in the fields of algorithmic trading, investments, risk management, microfinance, and microinsurance. He is a founder of Spes Nova Inc., a nonprofit corporation whose main goals are to provide funding to microenterprises, assist in market creation, and provide insurance products for the working poor around the world. He is also the founder and director of the Center for International Policy Stud- ies. He holds a PhD in economics with a concentration in finance and economet- rics from Catholic University of Louvain–Belgium. Timothy Rodgers is a Principal Lecturer in Economics and Finance at Coventry University in the United Kingdom. He is currently academic course director of the MSc Investment Management programme and also supervises a number of PhD students in the finance area. His personal research interests include financial contagion, portfolio theory, corporate capital structure, and Islamic finance, as well as, in the area of education, quality, ethnicity, and stu- dent performance in higher education. Berik Sabdenaliyev is a PhD candidate in finance at the University of Inter- national Business and Economics, Almaty, Kazakhstan. At the same time, he is a lecturer in the Finance Department of Suleyman Demirel University, Almaty. He earned a master’s degree from the same university after majoring in man- agement at the State University of Ualykhanov. He has had full scholarships for all bachelor’s, master’s, and PhD programs. His fields of interest are behavioral finance, investment decision theories, private equity performance, and enterprise