Examining international portfolio diversificationbenefits: An analysis based on emerging stock markets

This study examines the potential international portfolio diversification benefits between the Turkish stock market and twenty emerging stock markets using alternative panel cointegration tests for the period between January 2003 and August 2016 using monthly data. The study investigates together all stock markets defined as emerging stock markets according to the MSCI Emerging Market Index rather than examining a small number of stock markets, differently from many other studies. Thus, the study presents comprehensive results. Based on the results in this study, it is concluded that international portfolios comprising the Turkish stock market and other emerging stock markets examined in this study does not provide significant international diversification benefits for international investorsn early in all cases.