International Diversification Benefits between US, Turkish and Egyptian Stock Markets
AbstractInternational portfolio diversification benefits between US stock markets and corresponding markets in Turkey and Egypt are examined from a short- and long-term perspective. The Johansen cointegration procedure reveals cointegration at the general index level related to some but not all sub-indexes investigated. Granger causality indicates, in general, causality running between USA and Turkey but only isolated cases involving Egypt. Overall, the results suggest that US investors can obtain diversification benefits at a sub-index level given a long-term investment horizon restricted to positions in one but not both Middle Eastern markets in one and the same portfolio. Short-term benefits involve the Egyptian market related to two out of three sub-indexes.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by De Gruyter in its journal Review of Middle East Economics and Finance.
Volume (Year): 3 (2005)
Issue (Month): 2 (August)
Contact details of provider:
Web page: http://www.degruyter.com
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statistics
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Golla).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.