Volatility and Predictability in National Stock Markets: How Do Emerging and Mature Markets Differ?

Anthony Richards

IMF Staff Papers, 1996, vol. 43, issue 3, 461-501

Abstract: This paper examines the volatility and predictability of emerging stock markets. A range of measures suggests that, despite perceptions to the contrary, the volatility of emerging markets may have fallen rather than risen on average. Also, although the autocorrelations in emerging market returns appear to turn negative at horizons of a year or more, the magnitude of these return reversals is not that much larger than reversals in some mature markets. One interpretation of the results would be that emerging markets have not consistently been subject to fads or bubbles, or at least no more so than in some industrial countries.

JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 1996
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