Return Behavior in Emerging Stock Markets |
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| Authors: | Claessens Stijn; Dasgupta Susmita; Glen Jack |
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| Institution: | Stijn Claessens is with the Technical Department of the Europe and Central Asia and Middle East and North Africa Regions at the World Bank; Susmita Dasgupta is with the Policy Research Department at the World Bank; and Jack Glen is with the Economics Department at the International Finance Corporation. This article was funded in part through the World Bank research grant RPO 678-01. The authors thank the staff in the Emerging Markets Data Base division at the International Finance Corporation, especially Peter Tropper and Peter Wall, for assisting with the data, and Michael Adler, Geert Bekaert, Campbell Harvey, and the three referees for very useful comments. |
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| Abstract: | This article investigates the behavior of stock returns in thetwenty stock markets represented in the International FinanceCorporation's Emerging Markets Data Base. The aim is to testfor return anomalies and predictability. Using statistical methodologiesthat 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 sameanomalies. In particular, we find limited evidence of turn-of-the-tax-yeareffects and small-firm effects. We do find, however, evidenceof return predictability. |
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