Relative Performance of Equity Markets: An Assessment in the Conventional and Downside Frameworks

Posted: 6 Aug 2009

See all articles by Carla M. Bainbridge

Carla M. Bainbridge

Monash University

Don U. A. Galagedera

Monash University - Department of Econometrics and Business Statistics

Date Written: March 10, 2009

Abstract

This paper considers multiple measures of risk and return and appraises the performance of equity markets in the cross-section using a non-parametric procedure known as data envelopment analysis (DEA). In the appraisal, measures of risk (return) are treated as input (output) variables of the DEA model and developed and emerging markets are considered separately. The variation in relative performance among emerging markets is generally higher than that of developed markets. However, the overall performance of equity markets is consistent across the conventional and downside frameworks and the impact of risk measures on equity market performance is similar for both market types. Generally, the association between DEA ranking of markets and the ranking obtained with Treynor index are strong. The exception is when developed markets are ranked in the DEA models specified under the conventional framework.

Keywords: Relative performance, Emerging markets, Developed markets, Data envelopment analysis, Downside framework, Conventional framework

JEL Classification: C4, C67, G12, G15

Suggested Citation

Bainbridge, Carla M. and Galagedera, Don (Tissa) U. A., Relative Performance of Equity Markets: An Assessment in the Conventional and Downside Frameworks (March 10, 2009). International Journal of Business, Vol. 14, No. 1, 2009, Available at SSRN: https://ssrn.com/abstract=1356907

Carla M. Bainbridge

Monash University ( email )

Wellington Road
Clayton, Victoria 3168
Australia

Don (Tissa) U. A. Galagedera (Contact Author)

Monash University - Department of Econometrics and Business Statistics ( email )

900 Dandenong Road
Caulfield East, VIC 3145
Australia
+61 3 9903 1578 (Phone)
+61 3 9903 2007 (Fax)

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