Development Strategy in Offshore Markets: Evidence from the Channel Islands

Journal of Economic Studies, 38(1), 30-51

24 Pages Posted: 20 Nov 2008 Last revised: 19 Nov 2012

See all articles by Bruce Allen Hearn

Bruce Allen Hearn

University of Southampton; University of Bradford - School of Management

Date Written: November 17, 2008

Abstract

This paper contrasts the performance of three time series models, a simple stochastic drift, GARCH, and a time varying parameter CAPM for the Channel Islands, London FTSE100 and AIMS as well as Paris CAC40 and Medium & Small 190. Analysis of mean-variance optimised portfolios reveals both the level of integration between component markets as well as optimal combinations. The evidence suggests that the Channel Islands exhibit the greatest degree of integration with the Paris Medium & Small 190 constituents and the least with either of the London markets. A plausible development strategy would involve the integration of the fledgling offshore Channel Islands market with the diversified Euronext network of which Paris is an integral part.

Keywords: Portfolio Choice, Asset pricing, International Financial Markets, Channel Islands

JEL Classification: G11, G12, G15, O55

Suggested Citation

Hearn, Bruce Allen, Development Strategy in Offshore Markets: Evidence from the Channel Islands (November 17, 2008). Journal of Economic Studies, 38(1), 30-51, Available at SSRN: https://ssrn.com/abstract=1302950

Bruce Allen Hearn (Contact Author)

University of Southampton ( email )

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University of Bradford - School of Management ( email )

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