This paper investigates the comparative long term diversification benefits of Czech Republican, Hungarian, Polish and Turkish stock markets in the EU portfolio during the accession. The contribution is explored within the Mean- Variance framework using Jobson and Korkie’s asset set spanning test. Furthermore, Stein estimation is employed. It is found that among the studied emerging markets, only inclusion of Turkish stock market in the EU portfolio provided a significant leftward shift of the efficient frontier. This finding confirms the higher integration of Czech Republic, Hungary and Poland stock markets with the EU portfolio while also suggesting the partial integration of Turkey.
|Number of pages||18|
|Journal||ISE (Istanbul Stock Exchange) Review|
|Publication status||Published - 1 Jul 2006|