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Portfolio diversification benefits at different investment horizons during the Arab uprisings: Turkish perspectives based on MGARCH-DCC and wavelet approaches

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dc.contributor.authorAbdul Aziz Buriev
dc.contributor.authorGinanjar Dewandaru
dc.contributor.authorMohd-Pisal Zainal
dc.contributor.authorAbul Mansur Mohammed Masih
dc.date.accessioned2018-07-19T06:09:03Z
dc.date.available2018-07-19T06:09:03Z
dc.date.issued2018
dc.description.abstractThis study is an initial attempt at investigating the extent to which portfolio diversification benefits at different investment horizons are available to a Turkish investor from investment in MENA countries exposed to the Arab spring based on MGARCH-DCC and Wavelet techniques on daily data spanning from 2005 to 2015. The findings tend to suggest that the Turkish investors may not benefit from investment in Egypt for almost all investment horizons but may have moderate benefits from Lebanon up to the investment horizons of 32 - 64 days and longer. However, Turkish investors may benefit from Oman excepting the longer investment horizons. In the long run all stock holding periods exceeding 32 days have minimal benefits for portfolio diversification.en_US
dc.identifier.citationBuriev, A. A., Dewandaru, G., Zainal, M., & Mohammed Masih, A. M. (2018). Portfolio diversification benefits at different investment horizons during the Arab uprisings: Turkish perspectives based on MGARCH-DCC and wavelet approaches. Emerging Markets Finance and Trade, 54(12), 3272-3293. https://doi.org/10.1080/1540496X.2017.1362555en_US
dc.identifier.doihttps://doi.org/10.1080/1540496X.2017.1362555
dc.identifier.issn1558-0938 (online)
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/2929
dc.languageEnglish
dc.language.isoengen_US
dc.publisherTaylor & Francisen_US
dc.rights2017. Taylor & Francis
dc.sourceSEDONA
dc.subjectArab uprisingsen_US
dc.subjectMGARCH-DCCen_US
dc.subjectPortfolio diversificationen_US
dc.subjectWaveletsen_US
dc.titlePortfolio diversification benefits at different investment horizons during the Arab uprisings: Turkish perspectives based on MGARCH-DCC and wavelet approachesen_US
dc.typeJournal Articleen_US
dlc.maintopicConventional finance
dlc.subtopicCapital markets
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional financeen_US
ikr.topic.subtopicConventional financeen_US
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