Emerging Equity Markets: Are They for Real?

Posted: 24 Apr 1997

See all articles by Kent W. Hargis

Kent W. Hargis

Goldman, Sachs and Co.

William F. Maloney

World Bank - Poverty and Economic Management Unit; IZA Institute of Labor Economics; World Bank - Development Research Group (DECRG)

Multiple version iconThere are 2 versions of this paper

Date Written: Undated

Abstract

Using the methodology developed by Fama (1990) and Schwert (1990), we measure the degree to which six of the largest emerging equity markets in Latin America and Asia are rational in the sense that they incorporate domestic and global shocks to future expected cash flows and time- variation in the discount rates which price these flows. The Chilean, Mexican and, to a lesser extent, Malaysian markets appear more rational than either the Korean and Taiwanese or the base case U.S. and Japanese markets. However, we argue that numerous factors make the methodology unable to rank markets by relative efficiency. We also find evidence of the influence of real global variables on the Taiwanese and Korean markets.

JEL Classification: P23, M31

Suggested Citation

Hargis, Kent and Maloney, William F., Emerging Equity Markets: Are They for Real? (Undated). Available at SSRN: https://ssrn.com/abstract=9535

Kent Hargis (Contact Author)

Goldman, Sachs and Co. ( email )

85 Broad Street
New York, NY 10004
United States
212 357-6363 (Phone)

William F. Maloney

World Bank - Poverty and Economic Management Unit ( email )

1818 H Street NW
Washington, DC 20433
United States
202-473-6340 (Phone)
202-522-0054 (Fax)

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072
Germany

World Bank - Development Research Group (DECRG)

1818 H. Street, N.W.
MSN3-311
Washington, DC 20433
United States

Register to save articles to
your library

Register

Paper statistics

Abstract Views
640
PlumX Metrics