The Future of Emerging Market Capital Flows, Edward Altman, Richard Levich and Jianping Mei, Eds., 1997, forthcoming.

The Behavior of Emerging Market Returns

Geert Bekaert
Stanford University, Stanford CA, 94305
National Bureau of Economic Research, Cambridge, MA 02138

Claude B. Erb
First Chicago Investment Management Co., Chicago, IL 60670

Campbell R. Harvey
Duke University, Durham, NC 27708
National Bureau of Economic Research, Cambridge, MA 02138

Tadas E. Viskanta
First Chicago Investment Management Co., Chicago, IL 60670

Abstract

The behavior of emerging market returns differs substantially from the behavior of developed equity market returns. We show that these differences have persisted in the period ending March 1996 but, at the same time, document how some salient characteristics of emerging markets vary through time. Finally, we offer some ideas on the forces that drive the cross-section of returns, volatility, skewness, kurtosis and correlation in emerging markets.