The European Union Portfolio-Diversification Opportunities in the New Members vs. the Candidate: Turkey

Ceylan Onay and Vedat Akgiray

Istanbul Stock Exchange Review, 2007, vol. 9, issue 33, 79-100

Abstract: This paper investigates the comparative long term diversification benefits of Czech Republican, Hungarian, Polish and Turkish stock markets in the EU portfolio during the accession. The contribution is explored within the Mean- Variance framework using Jobson and Korkie’s asset set spanning test. Furthermore, Stein estimation is employed. It is found that among the studied emerging markets, only inclusion of Turkish stock market in the EU portfolio provided a significant leftward shift of the efficient frontier. This finding confirms the higher integration of Czech Republic, Hungary and Poland stock markets with the EU portfolio while also suggesting the partial integration of Turkey.

Keywords: EU accession; Central European Markets; Turkey; Portfolio diversification, Stein Estimation. (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:bor:iserev:v:9:y:2007:i:33:p:79-100

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