International Portfolio Diversification Opportinities between Turkey and Other Emerging Markets

Dağli, Hüseyin; Sivri, Uğur; Bank, Semra

doi:10.2139/ssrn.1869347

Cited by 3 publications

(4 citation statements)

References 37 publications

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“…The Johansen approach has been widely applied in the finance literature to explore the independence between international stock markets (Kasa, 1992;Dağli et al, 2012; and between stock prices and commodity prices (Hammoudeh & Li, 2005;Miller & Ratti, 2009;Dengjun, 2015).…”

Section: Methodsmentioning

confidence: 99%

Firm Size, Commodity Price, and Interdependence Between Firm-Level Stock Prices: The Case of Norwegian Salmon Industry

Zhang¹,

Myrland²,

Xie³

2016

AEF

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This study aims to investigate the interdependence between stock prices of salmon firms listed at Oslo Stock Exchange and to evaluate how this correlation is affected by firm size and salmon commodity price. Technically, we apply the Johansen's approach (Johansen, 1991) to test cointegration between stock prices and between individual stock prices and commodity price. The time path of the long-run relationship is further examined by recursive estimations. During the sample period, we fail to confirm a common stochastic trend between the stock prices of salmon firms. This is partly explained by the various responses of firm-level stock prices to the leading firm' stock price, depending on firm size. This may also relate to the differences between salmon stock prices' responses to commodity price.

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Section: Methodsmentioning

confidence: 99%

Firm Size, Commodity Price, and Interdependence Between Firm-Level Stock Prices: The Case of Norwegian Salmon Industry

Zhang¹,

Myrland²,

Xie³

2016

AEF

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“…Then, relation (15) shows that the expected gain from international diversification strategies is determined as a function of the price of market risk, the amount of country-specific risk considered with a measure of the degree of integration…”

Section: Implications For International Portfolio Diversificationmentioning

confidence: 99%

Financial Crises and the Success of Global Portfolio Management: A Study of the Middle East and North Africa

Khalfallah

2023

IJMRA

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Our principal objective is to implement a conditional CAPM that, in addition to the global market risk, specifies the level of market integration, evaluates exchange rate risk, and accounts for local market risk. To investigate the potential for portfolio diversification for foreign investors in this region by examining the impact of financial crises on the evolution of national markets in the MENA region's financial integration with the global market as well as with the three selected developed markets, namely France, Great Britain, and the United State. In order to test a conditional version of De Santis and Gerard's ICAPM by admitting a specification of a multivariate GARCH process, this line of research has used a particular methodology (MGARCH).

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“…Moreover, Turkey is nowadays a home for Islamic finance activities, Shariahcompliant or "participative" banks, with growing potentials for investments. Dagli, Sivri and Bank (2011) showed in their study that Turkish investors could take advantage from diversification opportunities in the stock markets of Indonesia, Malaysia, Philippines, China and South Africa instead of other emerging markets. This approach aims to investigate investment opportunities and benefits for Turkey in other regions and countries rather than its traditional trading partners in Europe and MENA regions.…”

Section: Introductionmentioning

confidence: 99%

“…Several studies have looked into diversification opportunities in Turkey's regional trading partners such as MENA region countries (Buriev, Dewandaru, Zainal, & Masih, 2018;Mansourfar, Mohamad, & Hassan, 2010) and Europe (Hourvouliades, 2009;Onay, 2006). Dagli, Sivri and Bank (2011) explored the portfolio diversification benefits for Turkey in emerging countries including Indonesia and Malaysia, but the period covered is not recent (1994)(1995)(1996)(1997)(1998)(1999)(2000)(2001)(2002)(2003)(2004)(2005)(2006)(2007)(2008)(2009)(2010). In our study, the period covered runs from June 2007 to October 2018.…”

Section: Introductionmentioning

confidence: 99%

Portfolio Diversification Benefits in Southeast Asian Stock Markets for Turkish Investors

Guedira

Ariff

2020

MJES

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International Portfolio Diversification Opportinities between Turkey and Other Emerging Markets

Cited by 3 publications

References 37 publications

Firm Size, Commodity Price, and Interdependence Between Firm-Level Stock Prices: The Case of Norwegian Salmon Industry

Firm Size, Commodity Price, and Interdependence Between Firm-Level Stock Prices: The Case of Norwegian Salmon Industry

Financial Crises and the Success of Global Portfolio Management: A Study of the Middle East and North Africa

Portfolio Diversification Benefits in Southeast Asian Stock Markets for Turkish Investors

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