Post by Sapphire Capital on Aug 21, 2008 22:39:08 GMT 4
The European Union Portfolio-Diversification Opportunities in the New Members vs. the Candidate: Turkey
Ceylan Onay
Sir John Cass Business School ; Bogazici University
Vedat Akgiray
affiliation not provided to SSRN
ISE Review, Vol. 9, No. 33
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.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1165082_code539555.pdf?abstractid=1165082&mirid=3
Ceylan Onay
Sir John Cass Business School ; Bogazici University
Vedat Akgiray
affiliation not provided to SSRN
ISE Review, Vol. 9, No. 33
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.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1165082_code539555.pdf?abstractid=1165082&mirid=3