Global Asset Allocation: Risk and Return Trade-off on Emerging Stockmarkets

  • Mohamed Derrabi
  • Michel Leseure
Part of the Centre for the Study of Emerging Markets Series book series (CSEM)


The allocational efficiency of financial markets is one of the important conditions for economic growth. The way financial resources are allocated determines the cost, the risk, the return and thus the added value created by investments. These are particularly important when considering emerging economies because of problems and barriers to capital accumulation and its allocation to the most promising activities. In developing countries, bank debt is the most preferred and sometimes the unique formal source for financing. The emergence of stock exchange markets has been restricted for several reasons: small size of the businesses, a lack of sufficient savings, and difficulties associated with the accumulation of capital due mainly to the lack of sufficient country-funds. As a result, the stock exchange markets have for a long time been neglected.


Global Market Systematic Risk Portfolio Management Develop Market Industrialize Market 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. Agrawal, A. and Tandon, K. (1994) ‘Anomalies or Illusions? Evidence from Stock Markets in Eighteen Countries’, Journal of International Money and Finance, vol. 13, pp. 83–106.Google Scholar
  2. Asprem, J. and Mads, M. (1989) ‘Stock Prices, Asset Portfolios and Macroeconomic Variables in Ten European Countries’, Journal of Banking and Finance, vol. 13, pp. 589–612.Google Scholar
  3. Balaban, E. (1995a) ‘Day of theWeek Effects: New Evidence from an Emerging Stock Market’, Applied Economics Letters, vol. 2, pp. 139–43.CrossRefGoogle Scholar
  4. Balaban, E. (1995b) ‘A Preliminary Note on the Relationship among International Stock Market’ unpublished paper, The Central Bank of the Republic of Turkey: Research Department.Google Scholar
  5. Bekaert, G. (1995) ‘Market Integration and Investment Barriers in Emerging Equity Markets’, The World Bank Economic Review, vol. 9, pp. 75–107.CrossRefGoogle Scholar
  6. Bekaert, G. and Harvey, C. (1995) ‘Time-Varying World Market Integration’, Journal of Finance, vol. 50, pp. 403–44.CrossRefGoogle Scholar
  7. Bekaert, G. and Harvey, C. (2000) ‘Foreign Speculators and Emerging Equity Markets’, Journal of Finance, vol. 55(2), pp. 565–613.CrossRefGoogle Scholar
  8. Bekaert, G. and Harvey, C. (2002) ‘Research in Emerging Markets Finance: Looking to the Future’, Emerging Markets Review, vol. 3(4), pp. 129–48.Google Scholar
  9. Bekaert, G. and Urias, M.S. (1996) ‘Diversification, Integration and Emerging Market Close-End Funds’, National Bureau of Economic Research (NBER) Working paper, 4990.Google Scholar
  10. Buckberg, E. (1996) ‘Institutional Investors and Asset Pricing In Emerging Markets’, Working paper WP/96/2, International Monetary Fund.Google Scholar
  11. Chen Nai-Fu, Roll, R. and Ross, S.A. (1986) ‘Economic Forces and the Stock Market’, Journal of Business, vol. 59(3), pp. 383–403.CrossRefGoogle Scholar
  12. Chuhan, P. (1992) ‘Sources of Portfolio Investment in Emerging Markets’, World Bank Working Paper, International Economics Department, World Bank, Washington DC.Google Scholar
  13. Claessens, S. (1995) ‘The Emergence of Equity Investment in Developing Countries: Overview’, World Bank Economic Review, vol. 9(1), pp. 25–36.Google Scholar
  14. Claessens, S. and Gooptu, S. (eds) (1993) Portfolio Investments in Developing Countries, World Bank Discussion paper no. 228.Google Scholar
  15. Claessens, S. and Rhee, M.W. (1994) ‘The Effects of Barriers on Equity Investment in Developing Countries’, World Bank Policy Research Paper no. 1263.Google Scholar
  16. Demirgüç-Kunt, A. and Levine, R. (1996) ‘Stock Market Development and Financial Intermediaries: Stylized Facts’, The World Bank Economic Review, vol. 10(2), pp. 291–321.CrossRefGoogle Scholar
  17. Demirgüç-Kunt, A. and Huizinga, H. (1999) ‘Market Discipline and Financial Safety Net design’, CEPR Discussion paper, 2311.Google Scholar
  18. Derrabi, M., de Bodt, E. and Cobbaut, R. (2000), ‘Microstructure Changes and Stock Price Behaviour, Evidence from casablanca stock exchange’, NASDAQNotre Dame Microstructure Conference, Paris.Google Scholar
  19. De Roon, F.A., Nijman, T.E. and Werker, B.J.M. (2001) ‘Testing for Mean- Variance Spanning with Short Sale Constraints and Transaction Costs: The Case of Emerging Markets’, Journal of Finance, vol. 56, pp. 723–44.Google Scholar
  20. Dickey, D.A. and Fuller, W.A. (1979) ‘Distribution of the Estimators for Autoregressive Time Series with a Unit Root’, Journal of the American Statistical Association, vol. 74, pp. 427–31.Google Scholar
  21. Divecha, A.B., Drach, J. and Stefek, D. (1992) ‘Emerging Markets: A Quantitative Perspective’, Journal of Portfolio Management, vol. 19(1), pp. 41–50.CrossRefGoogle Scholar
  22. Errunza, V.R. (1994) ‘Emerging Markets: Some New Concept’, Journal of Portfolio Management (Spring), pp. 82–7.Google Scholar
  23. Fama, E.F. (1965) ‘The Behaviour of Stock Market Prices’, Journal of Business, vol. 28, pp. 34–105.CrossRefGoogle Scholar
  24. Fama, E.F. (1970) ‘Efficient Capital Markets: A Review of Theory and Empirical Work’, Journal of Finance, vol. 25, pp. 383–417.CrossRefGoogle Scholar
  25. Fama, E.F. (1991) ‘Efficient Capital Markets: II’, Journal of Finance, vol. 46, pp. 1575–617.CrossRefGoogle Scholar
  26. Frankel, J. and Schmukler, S. (1996) ‘Crisis, Contagion and Country Funds: Effects on East Asia and Latin America’, Pacific Basin Working Paper Series, no. PB96-04.Google Scholar
  27. French, K. (1980) ‘Stock Returns and the Weekend Effect’, Journal of Financial Economics, vol. 8, pp. 55–70.CrossRefGoogle Scholar
  28. Gibbons, M. and Hess, P. (1981) ‘Day of the Week Effects and Asset Returns’, Journal of Business, vol. 54, pp. 579–96.CrossRefGoogle Scholar
  29. Granger, C.W.J. (1969) ‘Investigating Causal Relationships by Econometric Models and Cross-Spectral Methods’, Econometrica, vol. 37, pp. 424–38.CrossRefGoogle Scholar
  30. Harvey, C.R. (1995a) ‘Predictable Risk and Returns in Emerging Markets’, Review of Financial Studies (Fall), vol. 8(3), pp. 773–816.CrossRefGoogle Scholar
  31. Harvey, C.R. (1995b) ‘The Risk Exposure of Emerging Equity Markets’, World Bank Economic Review, vol. 9, pp. 19–50.CrossRefGoogle Scholar
  32. Harvey, C.R. (2000) ‘The Drivers of Expected Returns in International Markets’, Emerging Market Quaterly (Fall), pp. 32–49.Google Scholar
  33. Hauser, S., Marcus, M. and Yaari, U. (1994) ‘Investing in Emerging Markets: Is It Worthwhile Hedging Foreign Exchange Risk?’, Journal of Portfolio Management (Spring), pp. 76–81.Google Scholar
  34. Jaffe, J. and Westerfield, R. (1985) ‘The Week-End Effect in Common Stock Returns: The International Evidence’, Journal of Finance, vol. 40, pp. 433–54.CrossRefGoogle Scholar
  35. Kaminsky, G. and Schmukler, S. (1998) ‘What Triggers Market Jitters? A Chronicle of the Asian Crisis’, World Bank mimeo.Google Scholar
  36. Keane, S. (1993) ‘Emerging Markets – The Relevance of Efficient Market Theory’, The Chartered Association of Certified Accountants (ACCA) Technical and Research (T& R) Committee Occasional Research Papers no. 15.Google Scholar
  37. Korajczyk, R. (1996) ‘A Measure of Stock Market Integration for Developed and Emerging Markets’, World Bank Economic Review, vol. 10, pp. 267–90.CrossRefGoogle Scholar
  38. Krueger, A.O., Schiff, M.W. and Valdes, A. (1992) The Political Economy of Agricultural Price Intervention in Latin America (San Francisco, CA: ICS Press).Google Scholar
  39. Li, K., Sarker, A. and Wang, Z. (2003) ‘Diversification Benefits of Emerging Markets Subject to Portfolio Constraints’, Journal of Empirical Finance, vol. 10, (1–2), pp. 57–80.CrossRefGoogle Scholar
  40. Mullin, J. (1993) ‘Emerging Equity Markets in the Global Economy’, Federal Reserve Bank of New York Quarterly Review, vol. 18, pp. 54–83.Google Scholar
  41. Roll, R. (1983) ‘The Turn-of-the Year Effect and the Return Premia of Small Firms’, Journal of Portfolio Management (Winter), pp. 18–28.Google Scholar
  42. Roll, R. (1992) ‘Industrial Structure and the Comparative Behaviour of International Stock Market Indices’, Journal of Finance, vol. 47, pp. 3–42.CrossRefGoogle Scholar
  43. Sachs, J., Tornell, A. and Velasco, A. (1996) ‘Financial Crises in Emerging Markets: The Lessons from 1995’, Brooking Papers on Economic Activity, vol. 1, pp. 147–215.CrossRefGoogle Scholar
  44. Wilcox, J.W. (1992) ‘Global Investing in Emerging Markets’, Financial Analysts Journal, vol. 48, pp. 15–19.CrossRefGoogle Scholar

Copyright information

© Mohamed Derrabi and Michel Leseure 2005

Authors and Affiliations

  • Mohamed Derrabi
  • Michel Leseure

There are no affiliations available

Personalised recommendations