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International portfolio diversification opportunities between Turkey and other emerging markets

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  • Hüseyin Dağli;
  • Uğur Sivri
  • Semra Bank

Abstract

This 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.

Suggested Citation

  • Hüseyin Dağli; & Uğur Sivri & Semra Bank, 2012. "International portfolio diversification opportunities between Turkey and other emerging markets," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 5(1), pages 4-23.
    • Handle: RePEc:ids:ijtrgm:v:5:y:2012:i:1:p:4-23
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    References listed on IDEAS

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