投资组合多元化对土耳其投资者在东南亚股市的好处

IF 0.5 Q4 ECONOMICS

Malaysian Journal of Economic Studies Pub Date : 2020-12-14 DOI:10.22452/mjes.vol57no2.6

Souhaila Guedira, M. Ariff

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引用次数: 1

摘要

这项研究是一项开创性的尝试，旨在调查土耳其传统投资者和符合伊斯兰教的投资者在东南亚传统股票市场和伊斯兰股票市场的不同投资领域所能获得的投资组合多元化收益。我们使用多元广义自回归条件异方差（MGARCH-DCC）和小波方法。研究结果表明，马来西亚股市为土耳其传统投资者和伊斯兰投资者提供了巨大的多元化优势，尤其是对于长达16天的短期投资期限，以及超过128天的长期投资期限。此外，土耳其传统投资者也可以考虑在长达16天的短期持有期内投资泰国伊斯兰股票。至于16至128天的中期投资期限，土耳其投资者最好避免投资所有股票，因为多元化收益非常低。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Portfolio Diversification Benefits in Southeast Asian Stock Markets for Turkish Investors

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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来源期刊

Malaysian Journal of Economic Studies ECONOMICS-

CiteScore

1.30

自引率

25.00%

发文量

期刊介绍： The primary purpose of the journal is to promote publications of original research related to the Malaysian economy. It is also designed to serve as an outlet for studies on the South-east Asian countries and the Asian region. The journal also considers high-quality works related to other regions that provide relevant policy lessons to Malaysia. The journal is receptive to papers in all areas of economics. We encourage specifically contributions on all range of economic topics of an applied or policy nature. At the same time, submissions of methodological or theoretical studies with results that are of practical use are welcome. Works that are interdisciplinary will be considered provided that they contain substantial economic contents.