Skip to main content
    • Aa
    • Aa
  • Journal of Financial and Quantitative Analysis, Volume 34, Issue 1
  • March 1999, pp. 1-32

Re-Emerging Markets

  • William N. Goetzmann (a1) and Philippe Jorion (a2)
  • DOI:
  • Published online: 01 April 2009

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.

Linked references
Hide All

This list contains references from the content that can be linked to their source. For a full set of references and notes please see the PDF or HTML where available.

W. Bailey , and P. Chung . “Exchange Rate Fluctuations, Political Risk and Stock Returns: Some Evidence from an Emerging Market.” Journal of Financial and Quantitative Analysis, 30 (1995), 541561.

C. Barry ; J. Peavy ; and M. Rodriguez . “Performance Characteristics of Emerging Capital Markets.” Financial Analysts Journal, 54 (1998), 7280.

G. Bekaert , and C. Harvey . “Time-Varying World Market Integration.” Journal of Finance, 50 (1995), 403444.

S. J. Brown ; W. N. Goetzmann ; and S. A. Ross . “Survival.” Journal of Finance, 50 (1995), 853873.

A. Divecha ; J. Drach ; and D. Stefek . “Emerging Markets: A Quantitative Perspective.” Journal of Portfolio Management, 19 (Fall 1992), 4150.

C. Erb ; C. Harvey ; and T. Viskanta . “Country Risk and Global Equity Selection.” Journal of Portfolio Management, 21 (Winter 1995), 7483.

V. Errunza , and E. Losq . “International Asset Pricing under Mild Segmentation: Theory and Tests.” Journal of Finance, 40 (031985), 105123.

W. Goetzmann , and P. Jorion . “A Longer Look at Dividend Yields.” Journal of Business, 68 (1995), 483508.

L. Harris , and E. Gurel . “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), 815829.

C. Harvey Predictable Risk and Returns in Emerging Markets.” Review of Financial Studies, 8 (1995), 773816.

P. Jorion International Portfolio Diversification with Estimation Risk.” Journal of Business, 58 (1985), 259278.

P. Jorion , and E. Schwartz . “Integration vs. Segmentation in the Canadian Stock Market.” Journal of Finance, 41 (1986), 603616.

R. Michaud The Markowitz Optimization Enigma: Is Optimized Optimal?Financial Analysts Journal, 45 (1989), 3142.

T. Shumway The Delisting Bias in CRSP Data.” Journal of Finance, 52 (1997), 327340.

R. Stulz On the Effects of Barriers to International InvestmentJournal of Finance, 36 (091981), 923934.

Recommend this journal

Email your librarian or administrator to recommend adding this journal to your organisation's collection.

Journal of Financial and Quantitative Analysis
  • ISSN: 0022-1090
  • EISSN: 1756-6916
  • URL: /core/journals/journal-of-financial-and-quantitative-analysis
Please enter your name
Please enter a valid email address
Who would you like to send this to? *