International portfolio diversification: Is there a role for the Middle East and North Africa?
Item Type:Journal Article
Citation:Lagoarde-Segot, Thomas and Lucey, Brian, International portfolio diversification: Is there a role for the Middle East and North Africa?, Journal of Multinational Financial Management, 17, 5, 2007, 34 - 57
Portfolio Allocations in the Middle East and North Africa.pdf (Published (author's copy) - Peer Reviewed) 134.0Kb
We examine the issue of possible portfolio diversification benefits into seven Middle East and North African (MENA) stock markets. We construct international portfolios in dollars and local currencies. Ex ante weights are obtained by plugging five optimization models and two risk measures into a rolling block-bootstrap methodology. This allows us to derive 48 monthly rebalanced ex post portfolio returns. We analyze the out-of-sample performance based on Sharpe and Sortino ratios and the Jobson?Korkie statistic. Our results highlight outstanding diversification benefits in the MENA region, both in dollar and local currencies. Overall, we show that these under-estimated, under-investigated markets could attract more portfolio flows in the future.
Author: LUCEY, BRIAN MICHAEL
Type of material:Journal Article
Series/Report no:Journal of Multinational Financial Management;
Availability:Full text available