International portfolio diversification: Is there a role for the Middle East and North Africa?

Lagoarde‐Segot, Thomas; Lucey, Brian M.

doi:10.1016/j.mulfin.2007.01.001

Cited by 71 publications

(25 citation statements)

References 27 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The study results are also in line with other studies (Lagoarde-Segot and Lucey, 2007;Yu and Hassan, 2008;Mansourfar et al, 2010) in the context of the international diversification.…”

Section: Resultssupporting

confidence: 93%

“…The studies of Hassan et al (2003), Bailey et al (2005), Lagoarde-Segot and Lucey (2007), Yu and Hassan (2008) and Mansourfar et al (2010) on the stock markets in the Middle East and North Africa countries (MENA), concluded that there are many benefits to the portfolio diversification with titles of these regions which are both in dollars and local currency.…”

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

The contribution of the African capital markets in the diversification of investment global portfolios

Barreto¹

2017

Afr. J. Bus. Manage.

View full text Add to dashboard Cite

This study aims to evaluate the contribution of the African capital markets in the diversification of investment global portfolios. The study used the methodology based on the application of optimization models like mean variance (MV), resample michaud (RM), semi variance (SV), mean absolute deviation (MAD), and filtered historical simulation (FHS). In-sample and out-of-sample approaches were used to analyze the data. The study results suggested the existence of a strong correlation between some African capital markets and global capital markets, that is, they tend to move in the same direction. The most important being the diversification of global portfolio with assets of African capital markets generate benefits for both types of investors, risk averse and taker investors; that is, it provides benefits in the return and reduce investment risk. Still, the study results suggested that the foreign investors should look for African capital markets with a chance to maximize their wealth and diversify the investment risk in their portfolios. In the same order, the study result went further to elaborate on the advantages of the international diversification and furthermore contributes to the literature through application of the FHS method in the optimization portfolio. This methodology in addition to producing good results, is more restrained in the composition of investment portfolios than the other methods.

show abstract

“…The study results are also in line with other studies (Lagoarde-Segot and Lucey, 2007;Yu and Hassan, 2008;Mansourfar et al, 2010) in the context of the international diversification.…”

Section: Resultssupporting

confidence: 93%

Section: Literature Reviewmentioning

confidence: 99%

The contribution of the African capital markets in the diversification of investment global portfolios

Barreto¹

2017

Afr. J. Bus. Manage.

View full text Add to dashboard Cite

show abstract

“…The rationale of this paper is based on the following statement: while an abundant literature has been devoted to the current financial crisis, only a few publications try to identify a possible transmission to emerging markets (see : Dooley M. and Hutchison M., 2009). Among them, the MENA region is underinvestigated despite the significant equity market development in the region since 2 According to Lagoarde-Segot and Lucey (2007), MENA region is among the smallest attracting region of foreign investors (foreign capital represents 0.75% of GDP) compared with emerging countries.…”

Section: Introductionmentioning

confidence: 99%

Testing for “Contagion” of the Subprime Crisis on the Middle East and North African Stock Markets: A Markov Switching EGARCH Approach

Khallouli

Sandretto²

2012

JEI

View full text Add to dashboard Cite

In this paper, we investigate whether the recent financial turmoil which arose in the United States has contaminated the Middle East and North African countries (MENA). In contrast to Lagoard-Segot and Lucey (2009), we try to identify the existence of pure contagion (Masson, 1999) rather than shift-contagion (Rigobon, 2003). Then, we explicitly define financial "contagion" in accordance with Eichengreen et al. (1996) and we extend the Cerra and Saxena (2002) methodology by using a Markov-Switching EGARCH model introduced by Henry (2009) in order to identify contaminated MENA stock markets. Our results provide evidence of a persistence of recession characterised by low mean/high variance regimes which coincides with the third phase of the subprime crisis. In addition, there is evidence of mean and volatility contagion in MENA stock markets caused by the US stock market.• JEL Classification: C32, F31, G01, G15

show abstract

“…1 1 It is expected that by 2020, GCC countries could rival rising economies such as Brazil, China, and India if There have been some previous attempts at documenting the determinants of capital inflows to the Middle-East and North Africa. For example, in their study of international portfolio allocation, Lagoarde-Segot and Lucey (2007) find that risk diversification and the drive for higher profits explain investors' inclination for the region. Sadik and Bolbol (2001) provide evidence of linkages between capital flows/foreign direct investment (FDI) and technology spillovers.…”

Section: Introductionmentioning

confidence: 99%

The patterns of cross-border portfolio investments in the GCC region: do institutional quality and the number of expatriates play a role?

2009

View full text Add to dashboard Cite

In this paper, we document the determinants of portfolio investments to Gulf Cooperation Council (GCC) economies by bringing up the role played by market forces, cultural affinities, and institutional quality. We classify the GCC economies as host to 35 countries as per the Coordinated Portfolio Investment Surveys (CPIS) of the IMF for the period [2001][2002][2003][2004][2005][2006]. Using the CPIS data and data from various other reliable sources and appropriate panel data analysis techniques, we find a number of interesting results: 1) the relatively higher quality of institutional set up in GCC in comparison to other countries; 2) the relative volume of expatriates across source countries in GCC soil; and 3) bilateral factors such as trade linkages between GCC and source countries, all statistically and significantly explain portfolio investments to the GCC region. Additionally, we uncover the existence of a portfolio "GCC bias". That is, GCC investors exhibit a strong preference towards their own markets when allocating their cross border financial asset holdings.JEL classification: E44, F15, F36, F41

show abstract

International portfolio diversification: Is there a role for the Middle East and North Africa?

Cited by 71 publications

References 27 publications

The contribution of the African capital markets in the diversification of investment global portfolios

The contribution of the African capital markets in the diversification of investment global portfolios

Testing for “Contagion” of the Subprime Crisis on the Middle East and North African Stock Markets: A Markov Switching EGARCH Approach

The patterns of cross-border portfolio investments in the GCC region: do institutional quality and the number of expatriates play a role?

Contact Info

Product

Resources

About