Behaviour of Stock Returns in Selected Emerging Markets

This paper investigates the behavior of stock returns in ten emerging markets during the period, January 1, 2002 to April 30, 2009. Emerging markets have been found to offer better risk-adjusted returns than the developed markets. Distributions of stock returns are not normal and return volatility shows clustering. Emerging market investment can be treated as a distinct asset class by global investors. Evidence shows that stock returns are predictable and investors can earn returns superior to a simple buy and hold strategy. The benefits of investing in emerging markets are not lost in the periods of falling stock markets