Diversification Prospects in Middle East and North Africa (MENA) Equity Markets: A Synthesis and an Update
This study investigates the extent to which Eurozone and Middle East and North Africa (MENA) equity markets are integrated, to assess any potential diversification benefits across the two sets of markets. In addition to cointegration analysis, we analyse time-varying conditional correlations, which are then modelled as a smooth transition logistic trend model to permit the determination of the speed at which the two sets of markets are becoming more or less integrated. Optimal portfolios based on a combination of equity assets in both sets of markets are constructed to assess possible gains from diversification. We compare the performances of these portfolios using a variety of performance measures, taking into account the implications of higher moments of return distribution unlike several studies. Whilst our findings do not indicate Eurozone-MENA integration, there is mixed evidence on the correlation trends between the sets of markets. Moreover, the changes in correlations occur at a very slow pace. Overall, our analysis indicates the existence of diversification benefits in MENA equity markets.
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Format: | Journal Article biblioteca |
Language: | EN |
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2008
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Subjects: | Portfolio Choice, Investment Decisions G110, Economic Development: Financial Markets, Saving and Capital Investment, Corporate Finance and Governance O160, Other Economic Systems: Public Economics, Financial Economics P430, |
Online Access: | http://hdl.handle.net/10986/4820 |
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dig-okr-1098648202021-04-23T14:02:19Z Diversification Prospects in Middle East and North Africa (MENA) Equity Markets: A Synthesis and an Update Olusi, Olasupo Abdul-Majid, Haikal Portfolio Choice Investment Decisions G110 Economic Development: Financial Markets Saving and Capital Investment Corporate Finance and Governance O160 Other Economic Systems: Public Economics Financial Economics P430 This study investigates the extent to which Eurozone and Middle East and North Africa (MENA) equity markets are integrated, to assess any potential diversification benefits across the two sets of markets. In addition to cointegration analysis, we analyse time-varying conditional correlations, which are then modelled as a smooth transition logistic trend model to permit the determination of the speed at which the two sets of markets are becoming more or less integrated. Optimal portfolios based on a combination of equity assets in both sets of markets are constructed to assess possible gains from diversification. We compare the performances of these portfolios using a variety of performance measures, taking into account the implications of higher moments of return distribution unlike several studies. Whilst our findings do not indicate Eurozone-MENA integration, there is mixed evidence on the correlation trends between the sets of markets. Moreover, the changes in correlations occur at a very slow pace. Overall, our analysis indicates the existence of diversification benefits in MENA equity markets. 2012-03-30T07:29:54Z 2012-03-30T07:29:54Z 2008 Journal Article Applied Financial Economics 09603107 http://hdl.handle.net/10986/4820 EN http://creativecommons.org/licenses/by-nc-nd/3.0/igo World Bank Journal Article Middle East North Africa |
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Portfolio Choice Investment Decisions G110 Economic Development: Financial Markets Saving and Capital Investment Corporate Finance and Governance O160 Other Economic Systems: Public Economics Financial Economics P430 Portfolio Choice Investment Decisions G110 Economic Development: Financial Markets Saving and Capital Investment Corporate Finance and Governance O160 Other Economic Systems: Public Economics Financial Economics P430 |
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Portfolio Choice Investment Decisions G110 Economic Development: Financial Markets Saving and Capital Investment Corporate Finance and Governance O160 Other Economic Systems: Public Economics Financial Economics P430 Portfolio Choice Investment Decisions G110 Economic Development: Financial Markets Saving and Capital Investment Corporate Finance and Governance O160 Other Economic Systems: Public Economics Financial Economics P430 Olusi, Olasupo Abdul-Majid, Haikal Diversification Prospects in Middle East and North Africa (MENA) Equity Markets: A Synthesis and an Update |
description |
This study investigates the extent to which Eurozone and Middle East and North Africa (MENA) equity markets are integrated, to assess any potential diversification benefits across the two sets of markets. In addition to cointegration analysis, we analyse time-varying conditional correlations, which are then modelled as a smooth transition logistic trend model to permit the determination of the speed at which the two sets of markets are becoming more or less integrated. Optimal portfolios based on a combination of equity assets in both sets of markets are constructed to assess possible gains from diversification. We compare the performances of these portfolios using a variety of performance measures, taking into account the implications of higher moments of return distribution unlike several studies. Whilst our findings do not indicate Eurozone-MENA integration, there is mixed evidence on the correlation trends between the sets of markets. Moreover, the changes in correlations occur at a very slow pace. Overall, our analysis indicates the existence of diversification benefits in MENA equity markets. |
format |
Journal Article |
topic_facet |
Portfolio Choice Investment Decisions G110 Economic Development: Financial Markets Saving and Capital Investment Corporate Finance and Governance O160 Other Economic Systems: Public Economics Financial Economics P430 |
author |
Olusi, Olasupo Abdul-Majid, Haikal |
author_facet |
Olusi, Olasupo Abdul-Majid, Haikal |
author_sort |
Olusi, Olasupo |
title |
Diversification Prospects in Middle East and North Africa (MENA) Equity Markets: A Synthesis and an Update |
title_short |
Diversification Prospects in Middle East and North Africa (MENA) Equity Markets: A Synthesis and an Update |
title_full |
Diversification Prospects in Middle East and North Africa (MENA) Equity Markets: A Synthesis and an Update |
title_fullStr |
Diversification Prospects in Middle East and North Africa (MENA) Equity Markets: A Synthesis and an Update |
title_full_unstemmed |
Diversification Prospects in Middle East and North Africa (MENA) Equity Markets: A Synthesis and an Update |
title_sort |
diversification prospects in middle east and north africa (mena) equity markets: a synthesis and an update |
publishDate |
2008 |
url |
http://hdl.handle.net/10986/4820 |
work_keys_str_mv |
AT olusiolasupo diversificationprospectsinmiddleeastandnorthafricamenaequitymarketsasynthesisandanupdate AT abdulmajidhaikal diversificationprospectsinmiddleeastandnorthafricamenaequitymarketsasynthesisandanupdate |
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1756571551687245824 |