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Portfolio diversification for Turkish investors in Southeast Asian countries: empirical evidence based on MGARCH-DCC and wavelet

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dc.contributor.authorSouhaila Guedira
dc.contributor.supervisorMohamed Ariff Abdul Kareem
dc.date.accessioned2019-09-30T10:43:14Z
dc.date.available2019-09-30T10:43:14Z
dc.date.issued2019
dc.description.abstractThis study is an initial attempt investigating the extent to which portfolio diversification benefits are available at different investment horizons to Turkish conventional and Shari'ah compliant investors in Southeast Asian conventional and Islamic stock markets. We apply multivariate-generalized autoregressive conditional heteroscedastic (MGARCH-DCC) and Wavelet techniques on daily data spanning from 2007 to 2018. The findings tend to suggest that Turkish investors would likely not invest in Singapore stock markets. At the same time, investing in stock indices of Indonesia and Thailand present moderate diversification benefits overall. The results highly recommend that Turkish conventional and Islamic investors would rather opt for Malaysia stock markets for higher diversification benefits, 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 investing horizons from 16 to 128 days, it is advised to avoid investing in all the equities because of very low diversification benefits for Turkish investors ...en_US
dc.identifier.citationGuedira, S. (2019). Portfolio diversification for Turkish investors in Southeast Asian countries: empirical evidence based on MGARCH-DCC and wavelet coherence approaches (Master dissertation). INCEIF, Kuala Lumpur. Retrieved from https://ikr.inceif.org/handle/INCEIF/3106en_US
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/3106
dc.languageEnglish
dc.language.isoengen_US
dc.publisherINCEIFen_US
dc.rights2019. INCEIF
dc.sourceSGPS
dc.subjectInternational portfolio diversificationen_US
dc.subjectIslamic stock market investmentsen_US
dc.subjectSoutheast Asia
dc.subjectTurkey
dc.subjectMGARCH-DCC
dc.subjectWavelet coherence
dc.subjectCWT
dc.subjectMODWT
dc.subjectProject paper (MSc)
dc.titlePortfolio diversification for Turkish investors in Southeast Asian countries: empirical evidence based on MGARCH-DCC and waveleten_US
dc.typeMasteren_US
dlc.maintopicIslamic capital marketsen_US
dspace.entity.typePublication
ikr.doctypeTheses
ikr.licenseAvailable in physical copy only (Call number: t HG 4529.5 G924)
ikr.topic.maintopicIslamic capital marketsen_US
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