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The Cross-Section of Volatility and Autocorrelation in Emerging Markets

Finanzmarkt und Portfolio Management, (1995): 12-34.

Campbell R. Harvey

Duke University, Durham, NC 27708, USA

National Bureau of Economic Research, Cambridge, MA 02138, USA

Abstract

The levels of volatility and autocorrelations across emerging markets are dramatically higher than developed markets. In addition, there is much greater variation across countries in these measures. This paper analyzes the cross-sectional patterns in volatility and autocorrelation in 20 emerging markets. Explanations focus on the degree of diversification implicit in the index portfolio and the integration of the particular market with world capital markets.