Title: International portfolio diversification opportunities between Turkey and other emerging markets
Authors: Hüseyin Dağli; Uğur Sivri; Semra Bank
Faculty of Economics and Administrative Sciences, Department of Business Administration, Karadeniz Technical University, Trabzon 61080, Turkey.
Faculty of Economics and Administrative Sciences, Department of Economics, Rize University, Rize 53100, Turkey.
Faculty of Economics and Administrative Sciences, Department of Business Administration, Karadeniz Technical University, Trabzon 61080, Turkey
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.
Keywords: international portfolio diversification; Johansen cointegration analysis; emerging markets; stock market linkages; recursive tests; parameter constancy tests; Turkey; cointegration relationships; parameter stability.
Int. J. of Trade and Global Markets, 2012 Vol.5, No.1, pp.4 - 23
Available online: 18 Feb 2012