Hostname: page-component-6766d58669-bp2c4 Total loading time: 0 Render date: 2026-05-19T15:44:09.683Z Has data issue: false hasContentIssue false
  • English
  • Français

Re-Emerging Markets

Part of: JFQA William F. Sharpe Best Paper Award Winner

Published online by Cambridge University Press:  06 April 2009

William N. Goetzmann  and
Philippe Jorion
William N. Goetzmann
Affiliation:
Yale University, School of Management, Box 208200, New Haven, CT 06520–8200
Philippe Jorion
Affiliation:
University of California at Irvine, Graduate School of Management, 350 GSM, Irvine, CA 92697–3125
Get access Rights & Permissions [Opens in a new window]

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.

Information

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 34 , Issue 1 , March 1999 , pp. 1 - 32
Copyright
Copyright © School of Business Administration, University of Washington 1999

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable

References

Bailey, W., and Chung, P.. “Exchange Rate Fluctuations, Political Risk and Stock Returns: Some Evidence from an Emerging Market.” Journal of Financial and Quantitative Analysis, 30 (1995), 541–561.CrossRefGoogle Scholar
Barry, C.; Peavy, J.; and Rodriguez, M.. “Performance Characteristics of Emerging Capital Markets.” Financial Analysts Journal, 54 (1998), 72–80.CrossRefGoogle Scholar
Bekaert, G., and Harvey, C.. “Time-Varying World Market Integration.” Journal of Finance, 50 (1995), 403–444.Google Scholar
Bossaerts, P. “The Dynamics of Equity Prices in Fallible Markets.” Working Paper, California Institute of Technology (1997).Google Scholar
Bossaerts, P. “Martingale Restrictions on Securities Prices under Rational Expectations and Consistent Beliefs.” Working Paper, California Institute of Technology (1996).Google Scholar
Brown, S. J.; Goetzmann, W. N.; and Ross, S. A.. “Survival.” Journal of Finance, 50 (1995), 853–873.CrossRefGoogle Scholar
Divecha, A.; Drach, J.; and Stefek, D.. “Emerging Markets: A Quantitative Perspective.” Journal of Portfolio Management, 19 (Fall 1992), 41–50.CrossRefGoogle Scholar
Erb, C.; Harvey, C.; and Viskanta, T.. “Country Risk and Global Equity Selection.” Journal of Portfolio Management, 21 (Winter 1995), 74–83.CrossRefGoogle Scholar
Errunza, V., and Losq, E.. “International Asset Pricing under Mild Segmentation: Theory and Tests.” Journal of Finance, 40 (03 1985), 105–123.CrossRefGoogle Scholar
Goetzmann, W., and Jorion, P.. “A Longer Look at Dividend Yields.” Journal of Business, 68 (1995), 483–508.CrossRefGoogle Scholar
Harris, L., and Gurel, E.. “Price and Volume Effects Associated with Changes in the S&P500 List: New Evidence for the Existence of Price Pressures.” Journal of Finance, 41 (1986), 815–829.CrossRefGoogle Scholar
Harvey, C. “Predictable Risk and Returns in Emerging Markets.” Review of Financial Studies, 8 (1995), 773–816.CrossRefGoogle Scholar
International Finance Corporation. The IFC Indexes: Methodology, Definitions, and Practices. Washington, DC: IFC (1995).Google Scholar
Jorion, P. “International Portfolio Diversification with Estimation Risk.” Journal of Business, 58 (1985), 259–278.CrossRefGoogle Scholar
Jorion, P., and Schwartz, E.. “Integration vs. Segmentation in the Canadian Stock Market.” Journal of Finance, 41 (1986), 603–616.CrossRefGoogle Scholar
Jorion, P., and Goetzmann, W.. “Global Stock Markets in the Twentieth Century.” Journal of Finance (forthcoming 1999).CrossRefGoogle Scholar
Michaud, R. “The Markowitz Optimization Enigma: Is Optimized Optimal?” Financial Analysts Journal, 45 (1989), 31–42.CrossRefGoogle Scholar
O'Conner, S., and Smith, D.. The G.T. Guide to World Equity Markets. London: Euromoney Publications (1992).Google Scholar
Park, K., and Van Agtmael, A., eds. The World's Emerging Stock Markets. Chicago, IL: Probus (1993).Google Scholar
Shumway, T. “The Delisting Bias in CRSP Data.” Journal of Finance, 52 (1997), 327–340.CrossRefGoogle Scholar
Stambaugh, R. “Analyzing Investments Whose Histories Differ in Length.” Working Paper, The Wharton School (1996).CrossRefGoogle Scholar
Stolin, D. “UK Share Delisting: A Survival Analysis.” Working Paper, London Business School (1997).Google Scholar
Stulz, R. “International Asset Pricing Models: An Integrative Survey.” Working Paper, Ohio State Univ. (1992).Google Scholar
Stulz, R. “On the Effects of Barriers to International Investment” Journal of Finance, 36 (09 1981), 923–934.CrossRefGoogle Scholar