{
  "title": "Volatility and Predictability in National Stock Markets: How Do Emerging and Mature Markets Differ?",
  "publication": "IMF Working Papers, April 1, 1996",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/30/volatility-and-predictability-in-national-stock-markets-how-do-emerging-and-mature-markets-2015",
  "canonical": "https://www.imf.org/en/publications/wp/issues/2016/12/30/volatility-and-predictability-in-national-stock-markets-how-do-emerging-and-mature-markets-2015",
  "overlayPath": "/en/publications/wp/issues/2016/12/30/volatility-and-predictability-in-national-stock-markets-how-do-emerging-and-mature-markets-2015/index.md",
  "summary": "This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased as a result of the liberalization of markets.",
  "sections": [
    {
      "heading": "Key findings on volatility",
      "content": "- A range of measures suggests that there has been no generalized increase in volatility in recent years.\n- Volatility may have tended to fall rather than rise on average.\n- In general, the liberalization and broadening of emerging markets should lead to a reduction in return volatility as risk is spread among a larger number of investors."
    },
    {
      "heading": "Predictability of long-horizon returns",
      "content": "- There is evidence for positive autocorrelation in returns at horizons of one or two quarters.\n- Autocorrelations appear to turn negative at horizons of a year or more.\n- The magnitude of the apparent return reversals is not that much larger than reversals in some mature markets."
    },
    {
      "heading": "Interpretation and implications",
      "content": "- One interpretation is that emerging markets have not consistently been subject to fads or bubbles, or at least no more so than in some industrial countries.\n- Market liberalization and broadening are associated with risk dispersion across more investors, which should reduce return volatility."
    },
    {
      "heading": "Subjects and keywords",
      "content": "- Subjects: Asset prices, Emerging and frontier financial markets, Financial institutions, Financial markets, Market capitalization, Prices, Stock markets, Stocks\n- Keywords: Asset prices, Emerging and frontier financial markets, equity market return, Global, log-differenced return, market capitalization, Market capitalization, mature market, portfolio return, return behavior, return differential, return horizon, return index, return indices, return reversal, returns process, Stock markets, stock return data, Stocks, U.S. dollar, WP\n\n---\n\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/30/volatility-and-predictability-in-national-stock-markets-how-do-emerging-and-mature-markets-2015"
    }
  ],
  "bullets": [
    "[Markdown version](/en/publications/wp/issues/2016/12/30/volatility-and-predictability-in-national-stock-markets-how-do-emerging-and-mature-markets-2015/index.md)",
    "[Structured JSON version](/en/publications/wp/issues/2016/12/30/volatility-and-predictability-in-national-stock-markets-how-do-emerging-and-mature-markets-2015/index.json)",
    "[Bundle manifest](/en/publications/wp/issues/2016/12/30/volatility-and-predictability-in-national-stock-markets-how-do-emerging-and-mature-markets-2015/bundle-manifest.json)",
    "Authors: Anthony J. Richards",
    "Published: April 1, 1996",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451844757.001",
    "A range of measures suggests that there has been no generalized increase in volatility in recent years.",
    "Volatility may have tended to fall rather than rise on average.",
    "In general, the liberalization and broadening of emerging markets should lead to a reduction in return volatility as risk is spread among a larger number of investors.",
    "There is evidence for positive autocorrelation in returns at horizons of one or two quarters.",
    "Autocorrelations appear to turn negative at horizons of a year or more.",
    "The magnitude of the apparent return reversals is not that much larger than reversals in some mature markets.",
    "One interpretation is that emerging markets have not consistently been subject to fads or bubbles, or at least no more so than in some industrial countries.",
    "Market liberalization and broadening are associated with risk dispersion across more investors, which should reduce return volatility.",
    "Subjects: Asset prices, Emerging and frontier financial markets, Financial institutions, Financial markets, Market capitalization, Prices, Stock markets, Stocks",
    "Keywords: Asset prices, Emerging and frontier financial markets, equity market return, Global, log-differenced return, market capitalization, Market capitalization, mature market, portfolio return, return behavior, return differential, return horizon, return index, return indices, return reversal, returns process, Stock markets, stock return data, Stocks, U.S. dollar, WP"
  ],
  "alternates": {
    "markdown": "/en/publications/wp/issues/2016/12/30/volatility-and-predictability-in-national-stock-markets-how-do-emerging-and-mature-markets-2015/index.md",
    "json": "/en/publications/wp/issues/2016/12/30/volatility-and-predictability-in-national-stock-markets-how-do-emerging-and-mature-markets-2015/index.json",
    "bundleManifest": "/en/publications/wp/issues/2016/12/30/volatility-and-predictability-in-national-stock-markets-how-do-emerging-and-mature-markets-2015/bundle-manifest.json"
  },
  "generatedAtUtc": "2026-09-17T08:06:40.451Z"
}