Use this URL to cite or link to this record in EThOS: https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.724709
Title: An empirical examination of the stock return dynamics of developed, emerging and frontier markets
Author: Aladesanmi, Olalekan Adebowale
ISNI:       0000 0004 6425 6590
Awarding Body: Newcastle University
Current Institution: University of Newcastle upon Tyne
Date of Award: 2017
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Abstract:
This thesis is comprised of three chapters that independently investigate the dynamics of market efficiency, market integration, portfolio diversification and risk management of developed, emerging and frontier equity markets. Overall, we have demonstrated that market efficiency, market integration, asset portfolio allocation and hedging effectiveness vary continuously over time and across markets due to changing economic conditions. In chapter one, we examine the return predictability and technical trading rules profitability of developed, emerging and frontier equity markets over the period 1999 to 2015. Using automatic portmanteau test and wild bootstrapped automatic variance ratio test, we find evidence of time-varying return predictability to be consistent with the adaptive market hypothesis. Secondly, we find that the adaptive moving average rule outperforms the moving average convergence-and-divergence rule and buy-and-hold strategy on the basis of dynamic profitability and risk-adjusted profits. Finally, we find that macroeconomic volatility weakly increases technical rule profitability while crisis period strongly diminishes profitability. In chapter two, we evaluate the spillover effects, correlation dynamics and macro-finance determinants between UK and US stock markets for a long dataset using asymmetric BEKK-GARCH model. We carry out empirical analysis by splitting the period 1935 – 2015 into Interwar/Second World War, Bretton Wood System, pre-UK exchange control, post-UK exchange control, pre-EMU and post-EMU, and find that shock and asymmetric volatility spillovers have become stronger in the final period between the two markets, suggesting strong financial linkages. Using mixed-sampling regression model, we find that stock market integration has been driven by macroeconomic convergences, financial indicators, stock market characteristics and market contagion. In chapter three, we examine correlation dynamics, portfolio diversification and risk management of developed, emerging and frontier equity markets from 1999 to 2015 using asymmetric BEKK-GARCH and value-at-risk models. We find that with very low integration, strong hedging effectiveness, significantly high portfolio returns and minimal loss of investment, UK investors are better-off holding diversified portfolios that include UK and frontier markets during the Great Moderation period (1999 – 2007). In contrast, as a result of moderately high integration, less strong hedging effectiveness, comparatively low tail risk and marginally high portfolio returns and relatively lower loss of investment, UK investors are better off holding two-asset portfolio that include UK and some emerging and frontier markets during the Great Austerity period (2007-2015).
Supervisor: Not available Sponsor: Newcastle University Business School
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.724709  DOI: Not available
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