Portfolio Diversification Benefits in Southeast Asian Stock Markets for Turkish Investors

被引：0

作者：

Guedira, Souhaila ^{[1
,3
]}

Ariff, Mohamed ^{[2
,4
]}

机构：

[1] Istanbul Sabahattin Zaim Univ, Istanbul, Turkey

[2] INCEIF Malaysia, Kuala Lumpur, Malaysia

[3] Istanbul Sabahattin Zaim Univ IZU, Grad Educ Inst, Dept Islamic Econ & Finance, Halkali Cad 281 Halkali, TR-34303 Istanbul, Turkey

[4] Int Ctr Educ Islamic Finance INCEIF, Sch Grad & Profess Studies, Lorong Univ A, Kuala Lumpur 59100, Malaysia

来源：

MALAYSIAN JOURNAL OF ECONOMIC STUDIES | 2020年 / 57卷 / 02期

关键词：

International portfolio diversification; Islamic stock market investments; MGARCH-DCC; Southeast Asia; Turkey; wavelets; MGARCH-DCC; INVESTMENT HORIZONS; FINANCIAL TURMOIL; EMERGING MARKETS; ISLAMIC EQUITIES; WAVELET ANALYSIS; GARCH; INDEXES; PRICES; EAST;

D O I：

10.22452/MJES.vol57no2.6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study is a pioneering attempt at investigating portfolio diversification benefits available to the Turkish conventional and Shari'ah-compliant investors in the Southeast Asian conventional and Islamic stock markets at different investment horizons. We use multivariate-generalized autoregressive conditional heteroscedastic (MGARCH-DCC) and wavelet approaches. The results suggest that the Malaysian stock market offers substantial diversification benefits for the Turkish conventional and Islamic investors, especially for the short-run investment horizons up to 16 days, as well as for long-term investment periods exceeding 128 days. In addition, Turkish conventional investors could also consider investing in Thailand Islamic equities in short-run holding periods up to 16 days. As for the medium investment horizons from 16 to 128 days, it is advisable for the Turkish investors to avoid investing in all the equities because of very low diversification benefits.

引用

页码：275 / 304

页数：30

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