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Cited by 465

The DOI matches its Crossref record; 18 of the 18 references it cites were found in a registry or an index.

Stock returns and volatility in emerging financial markets

Open access
De Santis, Giorgio, i̇mrohoroǧlu, Selahattin·1997·Journal of International Money and Finance
DOI 10.1016/s0261-5606(97)00020-x
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Abstract

This paper studies the dynamics of expected stock returns and volatility in emerging financial markets. We find clustering, predictability and persistence in conditional volatility, as others have documented for mature markets. However, emerging markets exhibit higher conditional volatility and conditional probability of large price changes than mature markets. Exposure to high country-specific risk does not appear to be rewarded with higher expected returns. We detect a risk-reward relation in Latin America but not in Asia when we assume some level of international integration. We do not find support for the claim that market liberalization increases price volatility.

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Crossref · 10.1016/s0261-5606(97)00020-x

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Metadata

Authors
De Santis, G., & i̇mrohoroǧlu, S.
Venue
Journal of International Money and Finance
Publisher
Elsevier BV
Published
1997-08
Volume
16
Issue
4
Pages
561-579
ISSN
0261-5606 (ISSN-L)
DOI
10.1016/s0261-5606(97)00020-x
OpenAlex
W1991311094
Cited by
465
References
18
FWCI
14.53
Type
journal article
Language
en
Open access
gold

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CoChat. (2026). Citation check: Stock returns and volatility in emerging financial markets. https://app.cochat.ai/papers/10.1016/s0261-5606(97)00020-x
The paper
De Santis, G., & i̇mrohoroǧlu, S. (1997). Stock returns and volatility in emerging financial markets. Journal of International Money and Finance. https://doi.org/10.1016/s0261-5606(97)00020-x

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.