IDEAS home Printed from https://ideas.repec.org/a/bdd/journl/v2y2008i1p59-84.html
   My bibliography  Save this article

Cointegration Relations between Turkish and International Equity Markets and Portfolio Choices

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://www.bddk.org.tr/Content/docs/bddkDergiTr/dergi_0003_05.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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.;
    All these keywords.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bdd:journl:v:2:y:2008:i:1:p:59-84. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sumeyye Azize CENGIZ (email available below). General contact details of provider: https://edirc.repec.org/data/bddgvtr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.