; ; ; "ActiveFedora::Aggregation::ListSource" . a , ; "Stock Returns and Volatility in Emerging Financial Markets"; ; "batchuser@example.com"; "De Santis, Giorgio", "İmrohoroǧlu, Selahattin"; "Federal Reserve Bank of Minneapolis"; "G10 - General Financial Markets: General (includes Measurement and Data)", "E44 - Financial Markets and the Macroeconomy"; """In this paper we study the dynamic behavior of stock returns and volatility in emerging financial markets. In particular, we focus our attention on the following questions: o Does stock return volatility in emerging markets change over time? If so, are volatility changes predictable? o How frequent are _big surprises_ in emerging stock markets? o Is there any relationship between market risk and expected returns? o Has liberalization affected return volatility in emerging financial markets? Our findings can be summarized as follows. First, there is strong evidence of predictable time-varying volatility in almost all countries. In general, changes in volatility are highly persistent. Second, a fat-tailed distribution improves the fitting ability of the model. Third, investors are not rewarded for market-wide risk. Finally, we do not find any systematic effect of liberalization on stock market volatility. """^^; "1994-07-01"; "2019-05-21T16:45:43.077926365+00:00"^^; "https://doi.org/10.21034/dp.93"; ; "https://creativecommons.org/licenses/by-nc/4.0/"; "Wed Apr 22 16:40:45 2020"; "https://creativecommons.org/licenses/by-nc/4.0/"; "Research Paper"; "363", "180"; "Discussion paper (Federal Reserve Bank of Minneapolis. Institute for Empirical Macroeconomics)"; "093"; ; ; ; ; "Federal Reserve Bank of Minneapolis. Institute for Empirical Macroeconomics"; "Published in: _Journal of International Money and Finance_ (Vol. 16, No. 4, August 1997, pp. 561-579) https://doi.org/10.1016/S0261-5606(97)00020-X."^^; ; "Publication" . ; .