We examine US stock index return and volatility spillovers on the mean and volatility of stock index returns of 21 Frontier markets. We entertain potential time-variation in spillovers in mean returns by considering a time-varying parameter (TVP) model. Spillovers in volatility are modeled by...

We study risk-return relationship in twenty Frontier country stock markets by setting up an international version of the intertemporal capital asset pricing model (International ICAPM). The systematic risk in this model comes from covariance of Frontier market stock index returns with world...

We explore the degree to which stock index returns and conditional volatility of 21 frontier markets were affected by fluctuations on the US stock market between December 1st 2005 and January 15th 2010. We find weak, positive return spillovers from the USA to 17 frontier markets. For four...

We examine US stock index return and volatility spillovers on the mean and volatility of stock index returns of 21 Frontier markets. We entertain potential time variation in spillovers in mean returns by considering a time-varying parameter (TVP) model. Spillovers in volatility are modelled by...

We examine US stock index return and volatility spillovers on the mean and volatility of stock index returns of 21 Frontier markets. We entertain potential time-variation in spillovers in mean returns by considering a time-varying parameter (TVP) model. Spillovers in volatility are modeled by...