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Testing for Predictability in Returns in Emerging Markets
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90 percent confidence asset prices autocorrelation in returns average return betas capital flows CAPM cointegration confidence intervals correlations Dasgupta and Glen domestic currency returns emerging equity markets emerging market returns estimated evidence excess returns form of predictability increase in volatility industrial countries integration International Finance Corporation International Monetary Fund investment k-month longer horizons loser portfolio market capitalization market liberalization mature markets mean reversion methodology monthly returns MSCI World negative autocorrelation null hypothesis Panel paper positive autocorrelation predictability in returns price changes Province of China ranking period real domestic currency regression tests rejected relative required rates return horizon return indices return predictability return reversals return volatility returns in emerging reversals in emerging risk Schwert stationarity statistical significance stock prices suggest Taiwan Province test-period return tests for predictability total return U.S. dollar returns variance volatility measures volatility of emerging volatility of returns weekly data World Bank world market