IDEAS home Printed from https://ideas.repec.org/a/oup/wbecrv/v9y1995i1p131-51.html
   My bibliography  Save this article

Return Behavior in Emerging Stock Markets

Author

Listed:
  • Claessens, Stijn
  • Dasgupta, Susmita
  • Glen, Jack

Abstract

This article investigates the behavior of stock returns in the twenty stock markets represented in the International Finance Corporation's Emerging Markets Data Base. The aim is to test for return anomalies and predictability. Using statistical methodologies that have identified seasonal and size-based return differences, as well as general return predictability in industrial markets, we find that these emerging markets display few of the same anomalies. In particular, we find limited evidence of turn-of-the-tax-year effects and small-firm effects. We do find, however, evidence of return predictability. Copyright 1995 by Oxford University Press.

Suggested Citation

  • Claessens, Stijn & Dasgupta, Susmita & Glen, Jack, 1995. "Return Behavior in Emerging Stock Markets," The World Bank Economic Review, World Bank, vol. 9(1), pages 131-151, January.
  • Handle: RePEc:oup:wbecrv:v:9:y:1995:i:1:p:131-51
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:wbecrv:v:9:y:1995:i:1:p:131-51. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/wrldbus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.