Return Behavior in Emerging Stock Markets
Stijn Claessens (),
Susmita Dasgupta () and
World Bank Economic Review, 1995, vol. 9, issue 1, 131-51
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.
References: Add references at CitEc
Citations View citations in EconPapers (71) Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:oup:wbecrv:v:9:y:1995:i:1:p:131-51
Ordering information: This journal article can be ordered from
Access Statistics for this article
World Bank Economic Review is currently edited by Jaime de Melo
More articles in World Bank Economic Review from World Bank Group Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().