International Diversification Benefits between US, Turkish and Egyptian Stock Markets

Maneschiold Per-Ola
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Maneschiold Per-Ola: University of Skovde

Review of Middle East Economics and Finance, 2005, vol. 3, issue 2, 25-43

Abstract: International portfolio diversification benefits between US stock markets and corresponding markets in Turkey and Egypt are examined from a short- and long-term perspective. The Johansen cointegration procedure reveals cointegration at the general index level related to some but not all sub-indexes investigated. Granger causality indicates, in general, causality running between USA and Turkey but only isolated cases involving Egypt. Overall, the results suggest that US investors can obtain diversification benefits at a sub-index level given a long-term investment horizon restricted to positions in one but not both Middle Eastern markets in one and the same portfolio. Short-term benefits involve the Egyptian market related to two out of three sub-indexes.

Keywords: Cointegration; Portfolio diversification; Middle Eastern markets (search for similar items in EconPapers)
Date: 2005
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DOI: 10.2202/1475-3693.1037

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