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Development strategy in offshore markets: Evidence from the Channel Islands

Development strategy in offshore markets: Evidence from the Channel Islands
Development strategy in offshore markets: Evidence from the Channel Islands

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.

Channel Islands, Financial markets, Off shore investments, Portfolio investment
0144-3585
30-51
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2

Hearn, Bruce (2011) Development strategy in offshore markets: Evidence from the Channel Islands. Journal of Economic Studies, 38 (1), 30-51. (doi:10.1108/01443581111096132).

Record type: Article

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.

Full text not available from this repository.

More information

Published date: January 2011
Keywords: Channel Islands, Financial markets, Off shore investments, Portfolio investment

Identifiers

Local EPrints ID: 423424
URI: http://eprints.soton.ac.uk/id/eprint/423424
ISSN: 0144-3585
PURE UUID: 7373dd32-71f9-429d-9d1f-fbcb494f4fa3
ORCID for Bruce Hearn: ORCID iD orcid.org/0000-0001-9767-0198

Catalogue record

Date deposited: 21 Sep 2018 16:30
Last modified: 07 Oct 2020 00:35

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