Portfolio Diversification Benefits in Southeast Asian Stock Markets for Turkish Investors

  • Souhaila Guedira Istanbul Sabahattin Zaim University Turkey
  • Mohamed Ariff INCEIF Malaysia

Abstract

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.

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Author Biographies

Souhaila Guedira, Istanbul Sabahattin Zaim University Turkey

Department of Islamic Economics and Finance, Graduate Education Institute

Mohamed Ariff, INCEIF Malaysia

School of Graduate and Professional Studies

Published
2020-12-14
How to Cite
GUEDIRA, Souhaila; ARIFF, Mohamed. Portfolio Diversification Benefits in Southeast Asian Stock Markets for Turkish Investors. Malaysian Journal of Economic Studies, [S.l.], v. 57, n. 2, p. 275-304, dec. 2020. ISSN 1511-4554. Available at: <https://mjes.um.edu.my/article/view/27610>. Date accessed: 22 apr. 2021. doi: https://doi.org/10.22452/MJES.vol57no2.6.
Section
Articles