Re-Emerging Markets

Philippe Jorion and William Goetzmann

Yale School of Management Working Papers from Yale School of Management

Abstract: Recent research shows that emerging markets are distinguished by high returns and low covariances with global market factors. To check whether these results can be attributed to their recent emergence, we simulate a simple, general model of global markets, with a realistic survival process. The simulations reveal a number of new effects. We find that pre-emergence returns are systematically lower than post-emergence returns, and that the brevity of a market history is related to the bias in returns as well as to the world beta. These patterns are confirmed by an empirical analysis of emerging and submerged markets.

JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 1998-12-30
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Citations: View citations in EconPapers (12)

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Related works:
Working Paper: Re-emerging Markets (2000)
Working Paper: Re-emerging Markets (2000)
Journal Article: Re-Emerging Markets (1999)
Working Paper: Re-emerging Markets (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:ysm:somwrk:ysm111

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