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Benefits of inernational portfolio diversification: implication of the middle eastern oil - producint

سال انتشار: 1392
نوع سند: مقاله کنفرانسی
زبان: انگلیسی
مشاهده: 780

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شناسه ملی سند علمی:

EME02_1662

تاریخ نمایه سازی: 14 شهریور 1393

چکیده مقاله Benefits of inernational portfolio diversification: implication of the middle eastern oil - producint

Over the last decades, International Portfolio Diversification (IPD) has been the integral feature of global capital markets. Using Dynamic Conditional Correlation (DCC) model, this paper investigates opportunities of the short-run IPD benefits by investing in the Middle Eastern oil-producing countries. In addition, for the long-run linkage analysis, Autoregressive Distributed Lag approach (ARDL) is applied. It is found that, the market returns of the sampled countries are not definitely correlated in the short and long-term. The results imply that international portfolio investors may get the short and long-term diversification benefits by diversifying their portfolios among the Middle Eastern equity markets.JEL codes: G11, G15, C22

کلیدواژه های Benefits of inernational portfolio diversification: implication of the middle eastern oil - producint:

International portfolio diversification ، Co-integration ، Middle East oil-producing countries ، ARDL ، DCC GARCH

نویسندگان مقاله Benefits of inernational portfolio diversification: implication of the middle eastern oil - producint

Jamaledin Mohseniye Zonouzi

Department of Economics, Faculty of Economics and Management, Urmia University,

Gholamreza Mansourfar

Department of Accounting & Finance, Faculty of Economics and Management, Urmia

Fateme Bagherzadeh Azar

Master Graduated of Economics, Department of Economics, Faculty of Economics and