Portfolio allocations in the Middle East and North Africa
Author
Abstract
Suggested Citation
Note: Length:
Download full text from publisher
References listed on IDEAS
- Campbell, John Y & Hamao, Yasushi, 1992.
"Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration,"
Journal of Finance, American Finance Association, vol. 47(1), pages 43-69, March.
- John Y. Campbell & Yasushi Hamao, 1989. "Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration," NBER Working Papers 3191, National Bureau of Economic Research, Inc.
- Hamao, Yasushi & Campbell, John, 1992. "Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration," Scholarly Articles 3207694, Harvard University Department of Economics.
- Estrada, Javier, 2002. "Systematic risk in emerging markets: the," Emerging Markets Review, Elsevier, vol. 3(4), pages 365-379, December.
- Fishburn, Peter C, 1977. "Mean-Risk Analysis with Risk Associated with Below-Target Returns," American Economic Review, American Economic Association, vol. 67(2), pages 116-126, March.
- Bachman, Daniel & Choi, Jongmoo Jay & Jeon, Bang Nan & Kopecky, Kenneth J., 1996. "Common factors in international stock prices: Evidence from a cointegration study," International Review of Financial Analysis, Elsevier, vol. 5(1), pages 39-53.
- Hwang, Soosung & Pedersen, Christian S., 2004. "Asymmetric risk measures when modelling emerging markets equities: evidence for regional and timing effects," Emerging Markets Review, Elsevier, vol. 5(1), pages 109-128, March.
- Gilmore, Claire G. & McManus, Ginette M. & Tezel, Ahmet, 2005. "Portfolio allocations and the emerging equity markets of Central Europe," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 287-300, July.
- Voronkova, Svitlana, 2004. "Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 633-647.
- Angelos Kanas, 1998. "Linkages between the US and European equity markets: further evidence from cointegration tests," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 607-614.
- Söhnke M. Bartram & Gunter Dufey, 2001.
"International Portfolio Investment: Theory, Evidence, and Institutional Framework,"
Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 10(3), pages 85-155, August.
- Sohnke M. Bartram & Gunter Dufey, 2001. "International Portfolio Investment: Theory, Evidence, and Institutional Framework," Finance 0107001, University Library of Munich, Germany.
- Bekaert, Geert & Harvey, Campbell R., 1997.
"Emerging equity market volatility,"
Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
- Geert Bekaert & Campbell R. Harvey, 1995. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
- Thomas Lagoarde-Segot & Brian M. Lucey, 2007. "Capital Market Integration in the Middle East and North Africa," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 43(3), pages 34-57, June.
- Kearney, Colm & Lucey, Brian M., 2004. "International equity market integration: Theory, evidence and implications," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 571-583.
- Simon Stevenson, 1999. "Real estate's role in an international multi-asset portfolio: empirical evidence using Irish data," Journal of Property Research, Taylor & Francis Journals, vol. 16(3), pages 219-242, January.
- Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-278, July.
- Bawa, Vijay S., 1975. "Optimal rules for ordering uncertain prospects," Journal of Financial Economics, Elsevier, vol. 2(1), pages 95-121, March.
- Jorion, Philippe, 1986. "Bayes-Stein Estimation for Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(3), pages 279-292, September.
- Gilmore, Claire G. & McManus, Ginette M., 2002. "International portfolio diversification: US and Central European equity markets," Emerging Markets Review, Elsevier, vol. 3(1), pages 69-83, March.
- 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.
- Bracker, Kevin & Koch, Paul D., 1999. "Economic determinants of the correlation structure across international equity markets," Journal of Economics and Business, Elsevier, vol. 51(6), pages 443-471.
- Angelos Kanas, "undated". "Linkages between the US and European Equity Markets: Further Evidence from cointegration Tests," Working Papers 9804, University of Crete, Department of Economics.
- Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Gilmore, Claire G. & McManus, Ginette M. & Tezel, Ahmet, 2005. "Portfolio allocations and the emerging equity markets of Central Europe," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 287-300, July.
- Lagoarde-Segot, Thomas & Lucey, Brian M., 2007. "International portfolio diversification: Is there a role for the Middle East and North Africa?," Journal of Multinational Financial Management, Elsevier, vol. 17(5), pages 401-416, December.
- Guidi, Francesco & Ugur, Mehmet, 2014.
"An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefits,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 119-136.
- Guidi, Francesco & Ugur, Mehmet, 2014. "An analysis of South-Eastern European stock markets: evidence on cointegration and portfolio diversification benefits," Greenwich Papers in Political Economy 11323, University of Greenwich, Greenwich Political Economy Research Centre.
- Vo, Xuan Vinh, 2009. "International financial integration in Asian bond markets," Research in International Business and Finance, Elsevier, vol. 23(1), pages 90-106, January.
- Claire G.Gilmore & Brian Lucey & Ginette M.McManus, 2005. "The Dynamics of Central European Equity Market Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp069, IIIS.
- Rizwan Mushtaq & Syed Zulfiqar Ali Shah, 2014. "International Portfolio Diversification: United States and South Asian Equity Markets," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 61(2), pages 241-252, March.
- Kasman Adnan & Vardar Gülin & Okan Berna & Aksoy Gökçe, 2009. "The Turkish Stock Market Integration with Developed and Emerging Countries' Stock Markets: Evidence from Cointegration Tests with and without Regime Shifts," Review of Middle East Economics and Finance, De Gruyter, vol. 5(1), pages 24-49, May.
- Bank for International Settlements & Hong Kong Institute for Monetary Research, 2008. "Regional financial integration in Asia: present and future," BIS Papers, Bank for International Settlements, number 42.
- Bank for International Settlements, 2008. "Integration of India's stock market with global and major regional markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 202-236, Bank for International Settlements.
- Candelon, B. & Hurlin, C. & Tokpavi, S., 2012.
"Sampling error and double shrinkage estimation of minimum variance portfolios,"
Journal of Empirical Finance, Elsevier, vol. 19(4), pages 511-527.
- Candelon, B. & Hurlin, C. & Tokpavi, S., 2011. "Sampling error and double shrinkage estimation of minimum variance portfolios," Research Memorandum 002, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Bertrand Candelon & Christophe Hurlin & Sessi Tokpavi, 2012. "Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios," Post-Print hal-01385835, HAL.
- David Moreno & Paulina Marco & Ignacio Olmeda, 2005. "Risk forecasting models and optimal portfolio selection," Applied Economics, Taylor & Francis Journals, vol. 37(11), pages 1267-1281.
- Maghyereh, Aktham & Awartani, Basel & Abdoh, Hussein, 2022. "Asymmetric risk transfer in global equity markets: An extended sample that includes the COVID pandemic period," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
- S.S.S. Kumar, 2011. "Are Emerging Markets Relevant for Portfolio Diversification?," Review of Market Integration, India Development Foundation, vol. 3(2), pages 103-119, August.
- Ayub, Usman & Shah, Syed Zulfiqar Ali & Abbas, Qaisar, 2015. "Robust analysis for downside risk in portfolio management for a volatile stock market," Economic Modelling, Elsevier, vol. 44(C), pages 86-96.
- Kearney, Colm & Lucey, Brian M., 2004. "International equity market integration: Theory, evidence and implications," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 571-583.
- Thomas, Nisha Mary & Kashiramka, Smita & Yadav, Surendra Singh & Paul, Justin, 2022. "Role of emerging markets vis-à-vis frontier markets in improving portfolio diversification benefits," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 95-121.
- Pinar Evrim-Mandaci & Efe Çağlar Çağli, 2012. "Relationships between the US and European stock markets during the recent financial turmoil: evidence from the VARFIMA model," Applied Economics Letters, Taylor & Francis Journals, vol. 19(17), pages 1697-1701.
- Iqbal, Javed & Brooks, Robert & Galagedera, Don UA, 2007. "Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets," MPRA Paper 25349, University Library of Munich, Germany, revised May 2007.
- Maneschiold Per-Ola, 2005. "International Diversification Benefits between US, Turkish and Egyptian Stock Markets," Review of Middle East Economics and Finance, De Gruyter, vol. 3(2), pages 25-43, August.
- Dimitriou, Dimitrios & Kenourgios, Dimitris, 2012. "Opportunities for international portfolio diversification in the balkans’ markets," MPRA Paper 37479, University Library of Munich, Germany.
More about this item
Keywords
Portfolio Allocation; Emerging Markets; Middle East and North Africa.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-AFR-2006-05-27 (Africa)
- NEP-FIN-2006-05-27 (Finance)
- NEP-FMK-2006-05-27 (Financial Markets)
- NEP-RMG-2006-05-27 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:iis:dispap:iiisdp141. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Maeve (email available below). General contact details of provider: https://edirc.repec.org/data/cetcdie.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.