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An Empirical Analysis of Emerging Stock Markets of Europe

Shari Lawrence et al.

Quarterly Journal of Finance and Accounting2006article
ABDC B
Weight
0.53

What the paper says

This paper examines several aspects of the seven stock markets in Europe classified by the International Finance Corporation (IFC) as emerging markets. Specifically, we investigate correlations among the European emerging markets as well the U.S. and U.K. equity markets. In addition, we test for market efficiency and autocorrelation. Using weekly stock market data from the IFC, our findings indicate the greatest potential diversification benefits from a portfolio containing equities from Slovakia, Turkey, and the U.S. Further, we find that returns for Greece, Slovakia, and Turkey are unstable over time. Based on our results, we conclude that European emerging markets overall are unpredictable. Finally, our results show evidence of autocorrelation in European emerging markets.

33 citations

Cite this paper

@article{shari2006,
  title        = {{An Empirical Analysis of Emerging Stock Markets of Europe}},
  author       = {Shari Lawrence et al.},
  journal      = {Quarterly Journal of Finance and Accounting},
  year         = {2006},
}

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An Empirical Analysis of Emerging Stock Markets of Europe

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Evidence weight

0.53

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.46 × 0.4 = 0.18
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.