Abstract
Portfolio diversification is an important issue in the investment process. Country diversification is a way to achieve higher returns with lower risk for international portfolio investment. In this study, I examine possible short and long term relationships between the US and the Turkish equity markets by employing correlation analysis, cointegration methodology and Granger causality. Results indicate that the two markets are not highly correlated and there is no cointegrating relationship, pointing to possible diversification benefits by investing in the Turkish market. However, long term Granger causality results that show influence of the US market on the Turkish market limits the benefits that can be derived from diversification.
Abstract
Portfolio diversification is an important issue in the investment process. Country diversification is a way to achieve higher returns with lower risk for international portfolio investment. In this study, I examine possible short and long term relationships between the US and the Turkish equity markets by employing correlation analysis, cointegration methodology and Granger causality. Results indicate that the two markets are not highly correlated and there is no cointegrating relationship, pointing to possible diversification benefits by investing in the Turkish market. However, long term Granger causality results that show influence of the US market on the Turkish market limits the benefits that can be derived from diversification.
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Details
| Primary Language | English |
|---|---|
| Subjects | Economics |
| Journal Section | Articles |
| Authors | |
| Publication Date | September 21, 2009 |
| Published in Issue | Year 2009 Autumn |
Adress: Bolu Abant İzzet Baysal Üniversitesi İktisadi ve İdari Bilimler Fakültesi Ekonomik ve Sosyal Araştırmalar Dergisi 14030 Gölköy-BOLU
Tel: 0 374 254 10 00 / 14 86 Fax: 0 374 253 45 21 E-mail: iibfdergi@ibu.edu.tr
ISSN (Publish) : 1306-2174 ISSN (Electronic) : 1306-3553