UNDERSTANDING EMERGING AND FRONTIER MARKETS DYNAMICS THROUGH NETWORK THEORY

This paper investigates the volatility spill-over effects between emerging and frontier markets in an effort to understand if the discrimination between the two is categorical or subject to investor interpretation. Analyzing data from a period of nine years, from 2008 to 2017, we prove that some frontier markets are more connected to the emerging sector than to the frontier sector and that regional correlation is predominant over asset class correlation. The methodology used combines univariate and multivariate filtering of daily returns for auto-regressive, mean reversion and volatility clustering effects. This study is taking advantage of the most recent data analysis methods in a complex but robust manner, in order to best answer the market segregation question.