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Performance of the efficient frontier in an emerging market setting

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  • Aslihan Altay-Salih
  • Gulnur Muradoglu
  • Muhammet Mercan

Abstract

This study applies the Markowitz analysis to the Istanbul Stock Exchange and empirically investigates the performance of this tool in an emerging market setting. The results show that during the early years of establishment of an emerging stock exchange, an active strategy of mean variance portfolio, investing with monthly balancing, outperforms the passive strategies. However, at later stages the capital market liberalization changes market participants. Together, with the increase in foreign participation and integration of the market with the rest of the world, the performance of means variance efficient portfolios detoriate. The study also reports that the strategy is not effective during financial crisis.

Suggested Citation

  • Aslihan Altay-Salih & Gulnur Muradoglu & Muhammet Mercan, 2002. "Performance of the efficient frontier in an emerging market setting," Applied Economics Letters, Taylor & Francis Journals, vol. 9(3), pages 177-183.
    • Handle: RePEc:taf:apeclt:v:9:y:2002:i:3:p:177-183
    DOI: 10.1080/13504850110054067
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    References listed on IDEAS

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    1. Kalman J. Cohen & Jerry A. Pogue, 1967. "An Empirical Evaluation of Alternative Portfolio-Selection Models," The Journal of Business, University of Chicago Press, vol. 40, pages 166-166.
    2. Best, Michael J & Grauer, Robert R, 1991. "On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results," The Review of Financial Studies, Society for Financial Studies, vol. 4(2), pages 315-342.
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    Cited by:

    1. Aydın Ulucan, 2007. "An analysis of mean-variance portfolio selection with varying holding periods," Applied Economics, Taylor & Francis Journals, vol. 39(11), pages 1399-1407.

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