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Recent trends in relative performance of global equity markets

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  • Galagedera, Don U.A.

Abstract

This paper analyses the performances of 22 developed and 18 emerging markets over the period 2003–2010. The performance is assessed each year in a multi-dimensional risk-adjusted return framework using data envelopment analysis, and the trend in the performance is estimated in a fixed effects panel data model. The results reveal positive trends in only a small percentage of developed (9%) and emerging (11%) markets. A high percentage (45%) of developed markets show a gradual decline in performance, compared to emerging markets (11%). However, the developed markets outperformed the emerging markets from 2004 to 2008. Even though the emerging markets subsequently outperformed the developed markets in 2009 and 2010, their performance weakened from 2009 to 2010, whereas the performance of the developed markets improved. There is evidence of a positive association between equity market performance and market capitalisation and turnover. It appears that equity market performance is not related to inflation or gross domestic product per capita. According to the overall ranking, Malaysia is the best performer, followed by the USA, the Philippines, Israel and Switzerland. A discussion of the robustness of the results to three alternative performance measures (the Sharpe ratio, Treynor ratio and average excess returns per unit of downside deviation) is provided.

Suggested Citation

  • Galagedera, Don U.A., 2012. "Recent trends in relative performance of global equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 834-854.
    • Handle: RePEc:eee:intfin:v:22:y:2012:i:4:p:834-854
    DOI: 10.1016/j.intfin.2012.05.003
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    Cited by:

    1. Galagedera, Don U.A., 2014. "Modeling risk concerns and returns preferences in performance appraisal: An application to global equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 400-416.
    2. Harjoto, Maretno A. & Hoepner, Andreas G.F. & Li, Qian, 2021. "Corporate social irresponsibility and portfolio performance: A cross-national study," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 70(C).
    3. Galagedera, Don U.A., 2013. "A new perspective of equity market performance," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 333-357.

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    More about this item

    Keywords

    Equity markets; Cross-sectional analysis; Trend in performance; Data envelopment analysis; Panel data analysis;
    All these keywords.

    JEL classification:

    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • C67 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Input-Output Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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