Emerging Equity Markets: Are They for Real?

J. OF FINANCIAL RESEARCH

Posted: 26 Mar 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)

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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 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: G15

Suggested Citation

Hargis, Kent and Maloney, William F., Emerging Equity Markets: Are They for Real?. J. OF FINANCIAL RESEARCH, Available at SSRN: https://ssrn.com/abstract=8217

Kent Hargis

Goldman, Sachs and Co. ( email )

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

William F. Maloney (Contact Author)

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

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Bonn, D-53072
Germany

World Bank - Development Research Group (DECRG)

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United States

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