TY  - JOUR
AU  - Bekaert,Geert
AU  - Harvey,Campbell R.
TI  - Emerging Equity Market Volatility
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5307
PY  - 1997
Y2  - June 1997
UR  - http://www.nber.org/papers/w5307
L1  - http://www.nber.org/papers/w5307.pdf
N1  - Author contact info:
Geert Bekaert
Graduate School of Business
Columbia University
3022 Broadway, 411 Uris Hall
New York, NY 10027
Tel: 212/854-9156
Fax: 212/662-8474
E-Mail: gb241@columbia.edu

Campbell R. Harvey
Duke University
Fuqua School of Business
Durham, NC 27708-0120
Tel: 919/660-7768
Fax: 919/660-8030
E-Mail: cam.harvey@duke.edu
AB  - Returns in emerging capital markets are very different from returns in developed markets.  While most previous research has focused on average returns, we analyze the volatility of the returns in emerging equity markets.  We characterize the time-series of volatility in emerging markets and explore the distributional foundations of the variance process.  Of particular interest is evidence of asymmetries in volatility and the evolution of the variance process after periods of capital market reform.  We shed indirect light on the question of capital market integration by exploring the changing influence of world factors on the volatility in emerging markets.  Finally, we investigate the cross-section of volatility.  We use measures such as asset concentration, market capitalization to GDP, size of the trade sector, cross-sectional volatility of individual securities within each country, turnover, foreign exchange variability and national credit ratings to characterize why volatility is different across emerging markets.
ER  -