Grouping Emerging Stock Markets Based on Market Data
This paper uses cluster analysis, a multivariate statistical technique to classify emerging stock markets that have similarities into different groups. A number of key market data such as number listed companies, market capitalization, trading volume, turnover ratio, percentage change in price index, price-earnings (P/E) ratio, and market value-to-book value ratio are used. Analyses showed that the most important factors in grouping are market capitalization, trading volume, and turnover ratio. In addition to that, investable emerging markets and developed markets are clustered to see whether the same distinction is still valid in terms of market data. Analyses revealed that this distinction disappeared when the market data were taken into account. Based on these results, it is more appropriate to classify stock markets as large, medium or small markets; liquid markets, moderately liquid markets or illiquid markets as opposed to developed or emerging markets.
Volume (Year): 1 (2007)
Issue (Month): 2 ()
|Contact details of provider:|| Postal: |
Phone: +90-312-455 65 00
Fax: +90-312-424 08 77
Web page: http://www.bddk.org.tr/WebSitesi/turkce/Raporlar/BDDK_Dergi/BDDK_Dergi.aspxEmail:
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:bdd:journl:v:1:y:2007:i:2:p:77-92. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zafer Kovancý)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.