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Cointegration Relations between Turkish and International Equity Markets and Portfolio Choices

Author

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  • Turhan Korkmaz
  • Emrah Ismail Çevik

Abstract

In this study monthly equity index values of twenty two emerging and twelve developed markets are used for the determination of cointegration relations developed by Johansen. The results of cointegration analysis show that Turkish stock market is cointegrated with seven developed and five emerging markets. After determining the integrated equity markets, different international portfolio scenarios are created by using Markowitz mean-variance model. These findings suggest that Turkish portfolio managers are able to monitor their asset allocations and minimize risks if they obtain a better understanding of how emerging and developed equity markets are integrated

Suggested Citation

  • Turhan Korkmaz & Emrah Ismail Çevik, 2008. "Cointegration Relations between Turkish and International Equity Markets and Portfolio Choices," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 2(1), pages 59-84.
  • Handle: RePEc:bdd:journl:v:2:y:2008:i:1:p:59-84
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    File URL: http://www.bddk.org.tr/WebSitesi/turkce/Raporlar/BDDK_Dergi/5383Korkmaz.pdf
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    Cited by:

    1. Numan Ülkü, 2011. "Modeling Comovement among Emerging Stock Markets: The Case of Budapest and Istanbul," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(3), pages 277-304, July.

    More about this item

    Keywords

    Cointegration; Emerging Markets; Developed Markets; Portfolio; ISE.;

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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