Stock Returns: Comparison Among Selected Developing Countries
12 Pages Posted: 29 Apr 2016
Date Written: March 28, 2016
Developing economies behave alike; they have got communalities with reference to economic issues. This study is an attempt to gauge the performance of capital markets of selected developing economies, which include Pakistan, Bangladesh, Indonesia, Brazil and Argentina. The problem, which has been addressed here, is whether average stock returns are same for all the markets or some have potential to produce better returns. The data used in this study is the stock markets prices which are collected from Yahoo Finance website. The data comprises of five years’ daily observations starting from July 2010 to June 2015. Stock returns are obtained and checked for stationarity and all series were found integrated of order zero. The hypothesis of equality of average stock returns for all the markets is analyzed through ANOVA model. Having analyzed, null hypothesis of equality of average stock returns across the stated markets was retained and concluded that capital markets of developing economies behave alike at least with reference to returns.
Keywords: Stock returns, Developing economies, ANOVA
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