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...

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Main Authors:	Olusi, Olasupo, Abdul-Majid, Haikal
Format:	Journal Article
Language:	EN
Published:	2012
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

id	okr-10986-4820
recordtype	oai_dc
spelling	okr-10986-48202021-04-23T14:02:19Z 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
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	EN
topic	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
spellingShingle	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
geographic_facet	Middle East North Africa
relation	http://creativecommons.org/licenses/by-nc-nd/3.0/igo
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
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	2012
url	http://hdl.handle.net/10986/4820
_version_	1764392884792983552

Diversification Prospects in Middle East and North Africa (MENA) Equity Markets: A Synthesis and an Update

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