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Development strategy in offshore markets: evidence from the Channel Islands

journal contribution
posted on 2023-06-08, 11:02 authored by Bruce Hearn
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.

History

Publication status

  • Published

File Version

  • Published version

Journal

Journal of Economic Studies

ISSN

0144-3585

Publisher

Emerald Group Publishing Limited

Issue

1

Volume

38

Page range

30-51

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-04-23

First Compliant Deposit (FCD) Date

2012-02-24

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