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

Buriev, A. A., Dewandaru, G., Zainal, M.-P. ORCID: https://orcid.org/0000-0002-1517-2396 and Masih, 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 (14). pp. 3272-3293. ISSN 1540-496X doi: 10.1080/1540496X.2017.1362555

Abstract/Summary

This 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. KEY WORDS: Arab uprisings, MGARCH-DCC, portfolio diversification, wavelets