Emerging Markets: A Disaggregated Perspective on the Gains from Investing Internationally

S. G. M. Fifield, A. A. Lonie, D. M. Power and C. D. Sinclair
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S. G. M. Fifield: University of Dundee, Department of Accountancy & Business Finance, Dundee, Scotland
A. A. Lonie: University of Dundee, Department of Accountancy & Business Finance, Dundee, Scotland
D. M. Power: University of Dundee, Department of Accountancy & Business Finance, Dundee, Scotland
C. D. Sinclair: University of Dundee, Department of Accountancy & Business Finance, Dundee, Scotland

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 1999, vol. 02, issue 01, 99-124

Abstract: Using weekly disaggregated returns data for the top twenty shares, by market value, from seventeen emerging markets over the period 1991–1996, this paper investigates the potential gains from international diversification into these markets. The paper also assesses whether these gains could have been achieved on anex-antebasis. Finally, the paper quantifies the importance of country and industry factors in emerging market stock returns. The findings suggest that (i) substantial benefits exist from investing in emerging stock markets and (ii) these gains accrue more from the geographical spread than from the industrial mix of the equities included in the portfolio.

JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (3)

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DOI: 10.1142/S0219091599000060

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