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International portfolio diversification: Is there a role for the Middle East and North Africa?

  • Lagoarde-Segot, Thomas
  • Lucey, Brian M.

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File URL: http://www.sciencedirect.com/science/article/B6VGV-4MVN118-1/2/8a16b84fc0cca10e203a6cde95d35192
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Article provided by Elsevier in its journal Journal of Multinational Financial Management.

Volume (Year): 17 (2007)
Issue (Month): 5 (December)
Pages: 401-416

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Handle: RePEc:eee:mulfin:v:17:y:2007:i:5:p:401-416
Contact details of provider: Web page: http://www.elsevier.com/locate/mulfin

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  1. Gilmore, Claire G. & McManus, Ginette M. & Tezel, Ahmet, 2005. "Portfolio allocations and the emerging equity markets of Central Europe," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 287-300, July.
  2. Geert Bekaert & Campbell R. Harvey, 1995. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
  3. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-78, July.
  4. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
  5. Thomas Lagoarde-Segot & Brian M. Lucey, 2007. "Capital Market Integration in the Middle East and North Africa," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 43(3), pages 34-57, June.
  6. Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September.
  7. Hwang, Soosung & Pedersen, Christian S., 2004. "Asymmetric risk measures when modelling emerging markets equities: evidence for regional and timing effects," Emerging Markets Review, Elsevier, vol. 5(1), pages 109-128, March.
  8. Bawa, Vijay S., 1975. "Optimal rules for ordering uncertain prospects," Journal of Financial Economics, Elsevier, vol. 2(1), pages 95-121, March.
  9. Voronkova, Svitlana, 2004. "Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 633-647.
  10. Sohnke M. Bartram & Gunter Dufey, 2001. "International Portfolio Investment: Theory, Evidence, and Institutional Framework," Finance 0107001, EconWPA.
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