Performance of the efficient frontier in an emerging market setting
Date
2002
Authors
Altay-Salih, A.
Muradoglu, G.
Mercan, M.
Editor(s)
Advisor
Supervisor
Co-Advisor
Co-Supervisor
Instructor
Source Title
Applied Economics Letter
Print ISSN
1350-4851
Electronic ISSN
1466-4291
Publisher
Routledge
Volume
9
Issue
3
Pages
177 - 183
Language
English
Type
Journal Title
Journal ISSN
Volume Title
Series
Abstract
This study applies the Markowitz analysis to the Istanbul Stock Exchange and empirically investigates the performance of this tool in an emerging market setting. The results show that during the early years of establishment of an emerging stock exchange, an active strategy of mean variance portfolio, investing with monthly balancing, outperforms the passive strategies. However, at later stages the capital market liberalization changes market participants. Together, with the increase in foreign participation and integration of the market with the rest of the world, the performance of means variance e cient portfolios detoriate. The study also reports that the strategy is not eVective during financial crisis.