The purpose of this paper is to investigate the MENA’s potential for portfolio diversification benefits by examining long run equity linkages with daily data over the 1998-2004 periods. Our analysis is based on several co-integration analyses and an extension of Akdogan measures of financial...

We examine the issue of possible portfolio diversification benefits into seven Middle-Eastern and North African (MENA) stock markets. We construct international portfolios in dollars and local currencies. We compute the ex-ante weights by plugging five optimization models and two risk measures...