Hearn, Bruce (2011) Development strategy in offshore markets: evidence from the Channel Islands. Journal of Economic Studies, 38 (1). pp. 30-51. ISSN 0144-3585
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Abstract
Purpose – This paper aims to review the development of the Channel Islands exchange and assess
the potential diversification benefits arising from the inclusion of this market in investment portfolios
containing UK and French equity assets.
Design/methodology/approach – First this paper uses a simple stochastic drift, GARCH, and
time-varying parameter CAPM to model total returns indices. Second, it uses the unconditional and
conditional means and variances from first stage as inputs into a mean-variance portfolio quadratic
optimisation problem: the solutions of which denote the optimal asset weights.
Findings – The evidence suggests that although there are serious difficulties in modelling time series
from small illiquid equity markets owing to price-rigidity, the limited benefits that do exist for the
inclusion of Channel Islands assets in portfolios do so preferentially with Paris as opposed to London
assets.
Originality/value – This paper extends the literature development policy options for small offshore
markets and provides the first analysis of the Channel Islands.
Item Type: | Article |
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Schools and Departments: | University of Sussex Business School > Business and Management |
Subjects: | H Social Sciences > HG Finance > HG3810 Foreign exchange. International finance. International monetary system H Social Sciences > HG Finance > HG4001 Finance management. Business finance. Corporation finance |
Related URLs: | |
Depositing User: | Bruce Hearn |
Date Deposited: | 23 Apr 2012 13:18 |
Last Modified: | 03 Jul 2019 01:17 |
URI: | http://sro.sussex.ac.uk/id/eprint/38196 |
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