Frontier markets, such as Serbia, which are at the early stages of development, are characterized by very low level of solvency, absence of corporate management rules and reports to the public, insufficiently developed regulations, as well as significant participation of foreign portfolio investors in the exchange. Those are usually foreign investment funds specialized in risky investments at such markets; they apply the principle of geographic portfolio diversification in their investment policy. At the Belgrade Stock Exchange, foreign investors have been present at the stock market since 2002 and they participated in high volumes in stock buying during the stock market growth in the period from 2002 to 2007, whereas during the crisis at the Serbian capital market from 2008 to 2010 there was a significant increase in foreign investors' participation on the selling side and a withdrawal from the Belgrade Stock Exchange. Such behavior of foreign investors was initially prompted by local factors, but was intensified by the global financial crisis and will be analyzed in this paper.