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

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

Volume/Issue: 1996/29

Series: IMF Working Papers

Author(s): Anthony Richards

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 1996

DOI: http://dx.doi.org/10.5089/9781451844757.001

ISBN: 9781451844757

Keywords: emerging markets, predictability, autocorrelation, cointegration, standard deviation

This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased as a result of the liberalization of markets. A range of measures suggests that there has been n...