Is the Diversification Benefit of Frontier Markets Realizable by Mean-Variance Investors? The Evidence of Investable Funds
研究了前沿市场ETF能否为投资者带来实际的分散化收益，发现其风险降低潜力可通过可投资基金实现。
The authors investigate whether the diversification benefits of frontier markets are realizable. They focus on investable frontier exchange-traded funds (ETFs) and their corresponding indices. Their analysis ncludes directly measuring the economic benefits of frontier-market diversification, as well as considering frontier-market trading dynamics. Evidence indicates that frontier markets offer diversification benefits through risk-reducing potential. The authors find that frontier market volatility tends to be largely idiosyncratic, which supports the risk-reducing role of frontier markets. Their comparison of funds and indices indicates that, to the extent that frontier-market indices offer hypothetical benefits, traders can obtain these benefits by using investable funds. <bold>TOPICS:</bold> <ext-link>Exchange-traded funds and applications</ext-link>, <ext-link>volatility measures</ext-link>, <ext-link>in markets</ext-link>