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IMF Staff papers, Volume 43 No. 3

Journal Issue

Volume:: 45
Series:: IMF Staff Papers
Author(s):: International Monetary Fund. Research Dept.
Publisher:: INTERNATIONAL MONETARY FUND
Published Date:: January 1996
DOI:: http://dx.doi.org/10.5089/9781451973440.024
ISBN:: 9781451973440
ISSN:: 1020-7635
Page:: 188

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.

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Staff Papers Vol 43 No 3 (September 1996)