search query: @author De Santis, G. / total: 2
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| Author: | De Santis, G. Imrohoroglu, S. |
| Title: | Stock returns and volatility in emerging financial markets |
| Journal: | Journal of International Money and Finance
1996 : AUG, Vol. 16:4, p. 561-579 |
| Index terms: | STOCK MARKETS FINANCIAL MARKETS INVESTMENT |
| Language: | eng |
| Abstract: | This paper studies the dynamics of expected stock returns and volatility in emerging financial markets. We find clustering, predictability and persistence in conditional volatility, as others have documented for mature markets. However, emerging markets exhibit higher conditional volatility and conditional probability of large price changes than mature markets. Exposure to high country-specific risk does not appear to be rewarded with higher expected returns. We detect a risk-reward relation in Latin America but not in Asia when we assume some level of international integration. We do not find support for the claim that market liberalization increases price volatility. |
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