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Volatility and Predictability in National Stock Markets: How Do Emerging and Mature Markets Differ?

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  • Anthony J. Richards

    (International Monetary Fund)

Abstract

This paper examines the volatility and predictability of emerging stock markets. A range of measures suggests that, despite perceptions to the contrary, the volatility of emerging markets may have fallen rather than risen on average. Also, although the autocorrelations in emerging market returns appear to turn negative at horizons of a year or more, the magnitude of these return reversals is not that much larger than reversals in some mature markets. One interpretation of the results would be that emerging markets have not consistently been subject to fads or bubbles, or at least no more so than in some industrial countries.

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Bibliographic Info

Article provided by Palgrave Macmillan in its journal Staff Papers - International Monetary Fund.

Volume (Year): 43 (1996)
Issue (Month): 3 (September)
Pages: 461-501

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Handle: RePEc:pal:imfstp:v:43:y:1996:i:3:p:461-501

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Cited by:
  1. Garcia, René, 1998. "Modèles d’évaluation des actifs financiers dans les marchés boursiers en émergence : identification des facteurs de risque et tests de changement structurel," L'Actualité Economique, Société Canadienne de Science Economique, Société Canadienne de Science Economique, vol. 74(3), pages 467-484, septembre.
  2. Bekaert, Geert & Harvey, Campbell R. & Lumsdaine, Robin L., 2002. "Dating the integration of world equity markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 65(2), pages 203-247, August.
  3. Eduardo R. Borensztein & R. Gaston Gelos, 2001. "A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds," CESifo Working Paper Series 564, CESifo Group Munich.
  4. Tsai, Pei-Jung, 2009. "International equity flows and country funds," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 19(5), pages 862-894, December.
  5. Rezvanian, Rasoul & Turk, Rima A. & Mehdian, Seyed M., 2011. "Investors' reactions to sharp price changes: Evidence from equity markets of the People's Republic of China," Global Finance Journal, Elsevier, vol. 22(1), pages 1-18.
  6. Mauro, Paolo, 2003. "Stock returns and output growth in emerging and advanced economies," Journal of Development Economics, Elsevier, Elsevier, vol. 71(1), pages 129-153, June.
  7. Kabir Hassan, M. & Maroney, Neal C. & Monir El-Sady, Hassan & Telfah, Ahmad, 2003. "Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa," Economic Systems, Elsevier, Elsevier, vol. 27(1), pages 63-82, March.
  8. Gregory James & Michail Karoglou, 2009. "Financial Liberalisation and Stock Market Volatility: The Case of Indonesia," Discussion Paper Series, Department of Economics, Loughborough University 2009_11, Department of Economics, Loughborough University, revised Sep 2009.
  9. Yuan, Yanhui & Zhou, Xiaojuan & Tian, Guoqiang, 2002. "Economic Globalization, Marketization Reform and Economic Development in China," MPRA Paper 41256, University Library of Munich, Germany.
  10. Gerald Kohers & Ninon Kohers & Theodor Kohers, 2006. "The risk and return characteristics of developed and emerging stock markets: the recent evidence," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(11), pages 737-743.
  11. Wojciech W. Charemza & Ewa Majerowska, . "Regulation of the Warsaw Stock Exchange: The Portfolio Allocation Problem," Discussion Papers in European Economics, Department of Economics, University of Leicester 98/1, Department of Economics, University of Leicester.
  12. Wang, Ping & Theobald, Mike, 2008. "Regime-switching volatility of six East Asian emerging markets," Research in International Business and Finance, Elsevier, Elsevier, vol. 22(3), pages 267-283, September.
  13. Bekaert, Geert & Harvey, Campbell R., 2002. "Research in emerging markets finance: looking to the future," Emerging Markets Review, Elsevier, Elsevier, vol. 3(4), pages 429-448, December.
  14. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, Elsevier, vol. 10(1-2), pages 3-56, February.
  15. Ahmed, Ehsan & Barkley Rosser, J. Jr. & Uppal, Jamshed Y., 1999. "Evidence of nonlinear speculative bubbles in pacific-rim stock markets," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 39(1), pages 21-36.
  16. Riad Dahel, . "Volatility in Arab Stock Market," API-Working Paper Series 9905, Arab Planning Institute - Kuwait, Information Center.

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