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Return Behavior in Emerging Stock Markets

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  • 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," World Bank Economic Review, World Bank Group, vol. 9(1), pages 131-151, January.
  • Handle: RePEc:oup:wbecrv:v:9:y:1995:i:1:p:131-51
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