Handbook of Frontier Markets. The European and African Evidence

284 Pages·2016·6.793 MB·English

by  Panagiotis Andrikopoulos, Greg N. Gregoriou, Vasileios Kallinterakis

Handbook of
Frontier Markets
The African, European and Asian Evidence
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
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List of Contributors
P. Andrikopoulos Coventry Business School, Coventry, United Kingdom
D.L.T. Anh School of Banking and Finance, National Economics University, Hanoi,
Vietnam
K. Bangassa University of Liverpool, Management School, Liverpool, United
Kingdom
J. Ahmadu-Bello School of Economics, Finance and Accounting, University of Cov-
entry, Coventry, United Kingdom
N. Blasco University of Zaragoza, Zaragoza, Spain
D. Bond Ulster Business School, Ulster University, Londonderry, United Kingdom
D. Bozdog Financial Engineering Division, Stevens Institute of Technology, Castle
Point on Hudson, Hoboken, NJ, United States
S. Brahma Glasgow Caledonian University Business School, Glasgow, United
Kingdom
A. Calugaru MarketAxess, New York City, NY, United States
T. Chaiyakul Kasetsart University Sriracha Campus, Faculty of Management
Sciences, Chonburi, Thailand
A. Coën ESG-UQÀM, Graduate School of Business, University of Quebec in Montreal
and Ivanhoe-Cambridge Real Estate Chair, Montreal, QC, Canada
P. Corredor Public University of Navarre, Pamplona, Spain
A. Desfleurs School of Accounting, Faculty of Administration, University of
Sherbrooke, Sherbrooke, QC, Canada
K. Dyson Ulster Business School, Ulster University, Londonderry, United Kingdom
F. Economou Centre of Planning and Economic Research, Athens, Greece
A. Erdenetsogt ABJYA LLC Brokerage Company, Ulaanbaatar, Mongolia
S. Ferreruela University of Zaragoza, Zaragoza, Spain
K. Gavriilidis University of Stirling Management School, Stirling, Scotland, United
Kingdom
M.A. Georgescu Faculty of Public Administration, National University of Political
Studies and Public Administration, Bucharest, Romania
G.N. Gregoriou State University of New York (Plattsburgh), School of Business and
Economics, Plattsburgh, NY, United States
Y. Guney University of Hull Business School, Hull, United Kingdom
xi
xii List of Contributors
M. Iskandrani University of Jordan, Faculty of Business, Amman, Jordan
V. Kallinterakis University of Liverpool, Management School, Liverpool, United
Kingdom
D.S. Kambouroudis School of Management, University of Stirling, Stirling, Scotland,
United Kingdom
E. Katsikas Kent Business School, University of Kent, United Kingdom
L.M. Kgari Bank of Botswana, Finance Department, Gaborone, Botswana
G. Komba Mzumbe University, School of Business, Morogoro, Tanzania
M.K. Newaz Coventry Business School, Coventry, United Kingdom
C. Pop Department of Business, Faculty of Business, Babeş-Bolyai University,
Cluj-Napoca, Romania
T. Rodgers School of Economics, Finance and Accounting, University of Coventry,
Coventry, United Kingdom
S.M. Wangeci Adam Smith Business School, University of Glasgow, Glasgow,
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 Montre-
al’s four major universities—McGill, Concordia, UQAM, and HEC. Dr Grego-
riou is Professor of Finance at the State University of New York (Plattsburgh)
and has taught a variety of finance courses such as alternative investments, in-
ternational finance, money and capital markets, portfolio management, and cor-
porate finance. He has also lectured at the University of Vermont, the Univer-
sity of Navarra, and the University of Quebec at Montreal. Professor Gregoriou
has published 50 books, 65 refereed publications in peer-reviewed journals, and
24 book chapters since his arrival at SUNY Plattsburgh in Aug. 2003. His books
have been published by McGraw-Hill, John Wiley & Sons, Elsevier-Butter-
worth/Heinemann, Taylor and 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, Jour-
nal of Futures Markets, European Journal of Operational Research, Annals
of Operations Research, and Computers and Operations Research. Professor
Gregoriou is the derivatives editor and editorial board member for the Journal
of Asset Management as well as an editorial board member for the Journal of
xiii
xiv About the Editors
Wealth Management, the Journal of Risk Management in Financial Institutions,
Market Integrity, IEB International Journal of Finance, and the Brazilian Busi-
ness 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 lecturer 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 Man-
agement 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 Management, in Hefei, China.
Vasileios (Bill) Kallinterakis is currently Lecturer of Finance at University 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 inter-
ests 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 Jour-
nal, the Journal of International Financial Markets, Institutions and 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
Dao Le Trang Anh is a lecturer in finance at the National Economics University
of Vietnam (NEU). Her teaching and research interests focus on the field of eq-
uity markets and corporate finance management, while she is currently involved
in relevant research projects for the Vietnamese government. She holds an MSc
in financial forecasting and investment from the University of Glasgow.
Kenbata Bangassa holds a BA (honors) degree in accounting, MSc in
finance, and PhD in finance. He has taught accounting and finance at the Uni-
versity of Liverpool, the University of Manchester, Strathclyde University, and
Addis Ababa University at undergraduate and postgraduate levels. He has also
supervised PhD theses and MSc dissertations of candidates who have success-
fully graduated. His research interests include developed, emerging, and fron-
tier financial markets, as well as mutual fund performance, initial public offer-
ings (IPOs), asset pricing, capital structure, value of analyst recommendations,
and more. His work has been published in internationally refereed academic
journals. He has held administrative positions up to the rank of head of finance
department in government ministry. In connection to academic appointment at
the universities he worked for, he held various administrative positions, includ-
ing program director for undergraduate and postgraduate programs, external
examiner, and referee for academic journals.
Jaliyyah Ahmadu-Bello teaches in the Department of Economics, Finance,
and Accounting at Coventry University. Her undergraduate studies were at Fed-
eral University of Technology, Minna, Nigeria, and she has subsequently com-
pleted master’s and PhD programs at Coventry University, United Kingdom.
Her research interests include financial contagion effects in emerging and fron-
tier African markets, and she has also worked as a research and development
consultant in industry.
Natividad Blasco is Professor of Finance at the Department of Accounting and
Finance (Faculty of Economics and Business Administration) at the University
of Zaragoza. Her key research interests include market microstructure, corporate
finance, and behavioral finance. Her research has been published in peer-reviewed
journals such as the Journal of Business Finance & Accounting, Journal of Ac-
counting, Auditing and Finance, Journal of the Operational Research Society,
Accounting and Finance, European Journal of Operational Research, Quanti-
tative Finance, Applied Economics, and Journal of Behavioral Finance. She is
currently combining teaching and research with professional collaboration with
companies and private and public institutions.
xv
xvi About the Contributors
Derek Bond is a member of the academic staff at Ulster University. He is
a former Principal Economist in the Northern Ireland Treasury and Director of
the ESRC’s Northern Ireland Regional Research Laboratory. He has acted as
an advisor to many national and international organizations and held honorary
offices in various international learned societies. He is currently a member of
the Northern Ireland Statistical Advisory Committee and Associate Editor of the
Statistical Journal of the IAOS. He has published widely in the areas of (financial)
econometrics, geographic information systems (GIS), and innovation.
Dragos Bozdog, PhD, is the Deputy Director of the Hanlon Financial Sys-
tems Lab and Adjunct Professor in the Financial Engineering Division at Ste-
vens Institute of Technology (United States). Dr Bozdog earned his PhD in
financial engineering (Stevens Institute of Technology) and another PhD in
mechanical engineering (University of Toledo). His research interests include
mathematics of finance, high-frequency data analysis, rare events, emerging
markets, algorithms and optimization, and tire mechanics. Previously, he was
a postdoctoral fellow at Rutgers Center for Operations Research. In past years
he worked as quantitative analyst for the financial industry and government. He
published many research articles and book chapters, and he is regularly invited
to give presentations at international conferences.
Sanjukta Brahma is Senior Lecturer in Finance at Glasgow Caledonian Uni-
versity Business School. Her research interest is in the area of corporate finance,
particularly mergers and acquisitions, initial public offerings, and firm valua-
tion. Her work has been published in peer-reviewed journals, and she has pub-
lished a book on financial markets and institutions and has presented in various
international conferences.
Adina Calugaru earned her PhD in finance from Babes-Bolyai University,
Romania, and an MBA from Montclair State University (United States). She is
working in the financial industry in New York City and is actively involved in
investment funds research.
Thitima Chaiyakul is Lecturer at the Faculty of Management Sciences, Ka-
setsart University in Thailand. Her previous employments include placements
with the Bank of Thailand and the Thai Airways International Public Com-
pany Limited. Her research interests include financial investment, credit man-
agement, and operations management, while her work has also been published
in several books. She obtained her PhD from the University of Liverpool and
holds an MBA from Kasetsart University.
Alain Coën is Full Professor of Finance at the Graduate School of Busi-
ness (ESG) of the University of Quebec in Montreal (UQÀM). Before join-
ing ESG–UQÀM, he was associate professor of finance at EDHEC School of
Management. He obtained his PhD in finance from the University of Grenoble,
and his PhD in economics from the University of Paris I Panthéon–Sorbonne.
He holds an MA in economics with a major in macroeconomics from Laval
University and accreditations to supervise research (HDR in management) from
Paris-Dauphine University and (HDR in economics) from University of Paris
About the Contributors xvii
I Panthéon–Sorbonne. He has been visiting professor at Paris–Dauphine Uni-
versity, University of Paris-Ouest-Nanterre, EDHEC, Laval University, HEC–
University of Liège, and University of Sherbrooke. His research interests focus
on asset pricing, international finance, hedge funds, REITs, business cycles,
and financial econometrics. He has published in several international leading
journals, including the Journal of Empirical Finance, Journal of Financial
Research, Economics Letters, Finance Research Letters, Journal of Econom-
ics and Business, Finance, Journal of Alternative Investments, and others, and
has written a book in financial management. He is an associate researcher of
the Ivanhoé Cambridge Real Estate Chair at ESG–UQÀM Graduate School
of Business.
Pilar Corredor is Professor of Finance at the Department of Business Ad-
ministration (Faculty of Economics and Business Administration) at the Pub-
lic University of Navarre. Her key research interests are derivatives, corporate
finance, and behavioral finance. Her research has appeared in peer-reviewed
journals such as the Journal of the Operational Research Society, Journal of
Futures Markets, Technovation, Journal of Business Research, Accounting
and Finance, Quantitative Finance, Applied Economics, European Journal of
Operational Research, International Review of Financial Economics, Interna-
tional Business Research, and Journal of Behavioral Finance.
Aurélie Desfleurs is Associate Professor in the Accounting Department at
the University of Sherbrooke (Canada). She graduated from the EDHEC School
of Management and obtained her PhD in finance from Laval University. She is
also a Chartered Professional Accountant of Canada. She has published articles
in the Journal of Economics and Business and the Journal of Multinational
Financial Management. Her research focuses on financial analysts’ forecasts,
mergers and acquisitions, and International Financial Reporting Standards.
Ken Dyson is a member of academic staff at Ulster University. He has worked
as an academic consultant for major international banks, including Citi. He is rec-
ognized for his applied research on behavioral finance and has published mainly
in the area of financial theory and the functioning of financial markets.
Fotini Economou received her PhD from the Department of Business Ad-
ministration at the University of Piraeus, Greece, supported by a scholarship
from the Alexander S. Onassis Foundation. She is Research Fellow at the
Center of Planning and Economic Research (KEPE), Athens, Greece, as well
as Adjunct Lecturer at the Open University of Cyprus and the Hellenic Open
University. Her research focuses on behavioral finance, herd behavior, inves-
tor sentiment, and international financial markets. She has published several
papers in peer-reviewed financial journals (Journal of International Financial
Markets, Institutions and Money and International Review of Financial Analy-
sis, and others) and she has contributed to research projects for various public,
private, and academic institutions.
Ariunjargal Erdenetsogt is the Director of ABJYA LLC brokerage in
Mongolia. Her previous professional experience includes placements with the
xviii About the Contributors
Golomt Bank of Mongolia as treasury economist and product developer and at
the Ministry of Mongolia as an analyst. She holds an MSc in finance and invest-
ment from Durham University.
Sandra Ferreruela is Lecturer at the Department of Accounting and Fi-
nance (Faculty of Economics and Business Administration) at the University of
Zaragoza. Her research focuses on behavioral finance issues and market micro-
structure. She has published in peer-reviewed journals such as Accounting and
Finance, Journal of the Operational Research Society, Quantitative Finance,
and Journal of Behavioral Finance, and her research has been presented in a
variety of academic conferences internationally (eg, EFMA, World Finance
Conference, Behavioral Finance Working Group Conference, and Euro Work-
ing Group on Financial Modeling).
Konstantinos Gavriilidis teaches at the Stirling University Management
School, United Kingdom. Before joining Stirling University, he held a position
at Durham University Business School, and prior to joining academia he had an
extensive work experience in the shipping industry. He has taught behavioral
finance, corporate finance, and portfolio management, among other subjects,
while his research area lies in behavioral finance. He holds an MSc in interna-
tional money, finance, and investment and a PhD in finance, both from Durham
University, United Kingdom.
Maria-Andrada Georgescu is an associate professor at the National Univer-
sity of Political Studies and Public Administration, Romania. She holds a PhD
in finance from Babes-Bolyai University, Romania. Her main research interest is
focused on European security markets, mainly bond segments. She has published
several papers in this field in collaboration with Cornelia Pop, and she also the
author of a number of Romanian books on financial analysis and public finance.
Yilmaz Guney is a senior lecturer and program leader for the MSc in financial
management program at the Business School of the University of Hull, and was
a lecturer at the School of Management of the University of Surrey. His main
research area spans corporate finance, corporate governance, and behavioral fi-
nance. His work has been published in international journals, including the Jour-
nal of Financial and Quantitative Analysis, European Financial Management,
International Review of Financial Analysis, Journal of Multinational Financial
Management, and Pacific-Basin Finance Journal. Dr Guney holds a first degree
in economics and MSc and PhD degrees in finance, and is the European editor of
the International Journal of Behavioural Accounting and Finance.
Majd Iskandrani holds a BA (honours) in Finance, MBA in Finance and PhD
in Management studies. She has taught Accounting and Finance at the University
of Liverpool and the University of Jordan at undergraduate level and has partici-
pated in training courses at institute of banking studies. Her research interests
include: asset pricing, market liquidity, market microstructure, capital structure
and trading mechanisms, etc. She is currently working as an Assistant to the Di-
rector of International Relations at the University of Jordan.
Dimos S. Kambouroudis is a lecturer in finance at the University of Stirling
in Scotland. He previously held positions at the University of Edinburgh and