The main purpose of this paper is to compare the performance of portfolio strategies, comprising investments in emerging markets alone, and those strategies of combining investment in emerging and developed markets. The major finding of this paper is: the portfolio strategy combining investment...

This paper investigates the behavior of stock returns and volatility in 10 emerging markets and compares them with those of developed markets under different measures of frequency (daily, weekly, monthly and annual) over the period January 1, 2002 to December 31, 2006. The ratios of mean return...