International portfolio diversification opportunities between Turkey and other emerging markets
AbstractThis paper uses Johansen (1988) cointegration analysis to examine the existence of long-run relationship between the Turkish and 20 other emerging stock markets over the period 1994:12-2010:04. Bivariate cointegration analyses indicate the existence of cointegration relationships between Turkish and the most of other emerging stock markets. Also, recursive tests developed by Hansen and Johansen (1999) confirm parameter stability with very few exceptions. The existence of cointegration relationships and confirmation of parameter constancy imply that the gains from international portfolio diversification for Turkish investors are limited in these emerging markets.
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Bibliographic InfoArticle provided by Inderscience Enterprises Ltd in its journal Int. J. of Trade and Global Markets.
Volume (Year): 5 (2012)
Issue (Month): 1 ()
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Web page: http://www.inderscience.com/browse/index.php?journalID=130
international portfolio diversification; Johansen cointegration analysis; emerging markets; stock market linkages; recursive tests; parameter constancy tests; Turkey; cointegration relationships; parameter stability.;
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