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Do emerging markets with consistent returns have better future performance?

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  • Boyce Watkins

Abstract

Using monthly data for 25 emerging markets around the world, it is found that emerging markets with recently consistent stock returns tend to have future returns that continue in the same direction. The effects are long-lived for negative consistency, and imply that capital flows are much more sensitive to market downturns than market upturns. Additionally, the longer a market has had consistently negative (positive) stock returns, the more negative (positive) are future returns. These results serve as confirmation that the consistency effects of Grinblatt and Moskowitz [J. Finan. Econ., 2004, forthcoming] and Watkins [J. Behav. Finan., 2003, 4, 1-32] exist in emerging markets around the world.

Suggested Citation

  • Boyce Watkins, 2006. "Do emerging markets with consistent returns have better future performance?," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 411-422.
    • Handle: RePEc:taf:quantf:v:6:y:2006:i:5:p:411-422
    DOI: 10.1080/14697680600699845
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    References listed on IDEAS

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    1. Andrew W. Lo & Jiang Wang, 2006. "Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 61(6), pages 2805-2840, December.
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    Cited by:

    1. Oral Erdogan & Ari Yezegel, 2009. "The news of no news in stock markets," Quantitative Finance, Taylor & Francis Journals, vol. 9(8), pages 897-909.

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