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NOTE: Since 2009 the title of the International Journal of Entrepreneurship Education (IJEE) has been changed to the title above.  ISSN numbers: IJEE 1649-2269 and IRE 2009-2822

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ISSN Number: 2009-2822. Frequency: 4 Issues per year (online only)  

Article #1516 - Opportunities for International Portfolio Diversification across the South Eastern European Region

IRE Vol 13: Issue 3, 2015 , Pages 215-232

Author(s): Jasmina Okičić (University of Tuzla, Bosnia and Herzegovina)

Abstract:
The main goal of this paper is to scientifically examine the opportunities for international portfolio diversification across the selected stock markets in the South Eastern European (SEE) region. Apart from examining potential portfolio risk reduction we will also investigate possibilities for realization of excess return on these markets. Therefore, this approach is two-dimensional and consists of (1) weak-form efficiency testing, by using autoregressive (AR) model, and (2) by using Johansen's cointegration and Granger causality tests examining long and short-run relationships among selected stock markets in the SEE region. We use publicly available data and information available from stock traded indices in the SEE region and benchmark these against the index of European developed economy. The real implications of this research can be seen in the shaping of investment strategies of potential investors looking to diversify their portfolios.

Keywords: portfolio diversification, cointegration, causality, weak-form efficiency

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