The Risk Exposure of Emerging Equity Markets |
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| Authors: | Harvey Campbell R |
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| Institution: | Campbell R. Harvey is with the Fuqua School of Business at Duke University and the National Bureau of Economic Research. This work is based on his presentation at the World Bank Conference on Portfolio. Investment in Developing Countries, Washington, D.C., September 9–10, 1993. This research is funded by the World Bank. The author appreciates the support of the Batterymarch Fellowship and a grant from the Center for International Business Education and Research (CIBER) at the Fuqua School of Business, Duke University. Yoram Ehrlich, Chris Kirby, and Akhtar Siddique provided excellent research assistance, and two anonymous referees provided useful comments. |
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| Abstract: | The low correlation between returns in emerging equity marketsand industrial equity markets implies that the global investorwould benefit from diversification in emerging markets. Thisarticle explores the sensitivity of the emerging-market returnsto measures of global economic risk. When these traditionalmeasures of risk are used, the emerging markets have littleor no sensitivity. This finding is consistent with these markets'being segmented from world capital markets. However, the correlationbetween the emerging-market returns and the risk factors appearsto be changing over time. |
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