International portfolio diversification opportunities between Turkey and other emerging markets

Hüseyin Dağli;, Uğur Sivri and Semra Bank

International Journal of Trade and Global Markets, 2012, vol. 5, issue 1, 4-23

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. (search for similar items in EconPapers)
Date: 2012
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