Journal Article10.2139/SSRN.2771623
Stock Returns: Comparison Among Selected Developing Countries
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TL;DR: In this article, the authors used Yahoo Finance data for measuring the performance of capital markets of selected developing economies, which include Pakistan, Bangladesh, Indonesia, Brazil and Argentina, and concluded that these markets behave alike at least with reference to returns.
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Abstract: Developing economies behave alike; they have got communalities with reference to economic issues. This study is an attempt to gauge the performance of capital markets of selected developing economies, which include Pakistan, Bangladesh, Indonesia, Brazil and Argentina. The problem, which has been addressed here, is whether average stock returns are same for all the markets or some have potential to produce better returns. The data used in this study is the stock markets prices which are collected from Yahoo Finance website. The data comprises of five years’ daily observations starting from July 2010 to June 2015. Stock returns are obtained and checked for stationarity and all series were found integrated of order zero. The hypothesis of equality of average stock returns for all the markets is analyzed through ANOVA model. Having analyzed, null hypothesis of equality of average stock returns across the stated markets was retained and concluded that capital markets of developing economies behave alike at least with reference to returns.
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Citations
•Posted Content
Volatility Among Regional Stock Markets: An Empirical Analysis
TL;DR: In this article, the authors attempted to measure volatilities among regional stock markets and to establish a relationship between stock returns and volatility, and to rank these markets with respect to volatility.
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References
Industry Concentration and Average Stock Returns
Kewei Hou,David Robinson +1 more
TL;DR: In this article, the authors posit that barriers to entry in highly concentrated industries insulate firms from undiversifiable distress risk, and firms in less concentrated industries are less risky because they engage in less innovation, and thereby command lower expected returns.
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The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Stock Price Movements?
TL;DR: In this paper, the authors conjecture that weak private property rights impede informed trading and increase systematic noise trader risk, and also conjecture that, in countries that protect public investors poorly from corporate insiders, intercorporate income shifting may make firm-specific information less useful to risk arbitrageurs and therefore impede its capitalization into stock prices.
Industry Concentration and Average Stock Returns
TL;DR: This paper showed that firms in more concentrated industries earn lower expected returns, even after controlling for size, book-to-market, momentum, and other return determinants, and that barriers to entry in highly concentrated industries insulate firms from undiversifiable distress risk.
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The Behaviour of Stock Returns in an Emerging Market: A Case Study of Pakistan
TL;DR: The modem finance theory as discussed by the authors is based on the pioneering works of Markowitz (1959) and Sharpe (1964), and accumulating empirical evidence suggest that financial investors are well advised to make their decisions assuming that security prices fully and instantaneously reflect all publicly available information.