This study examines the return behavior of 15 emerging equity markets for persistent deviations from the fundamental value hypothesis. The duration dependence test shows that rational expectations bubble do not cause deviations from fundamental value in any of the markets. Markov chain test...

Intro -- THE STOCK MARKET: CRISIS, RECOVERY AND EMERGING ECONOMIES -- THE STOCK MARKET: CRISIS, RECOVERY AND EMERGING ECONOMIES -- CONTENTS -- PREFACE -- Chapter 1 FEDERAL BUDGET DEFICITS, INTEREST RATES AND THE GENERAL STOCK MARKET -- ABSTRACT -- 1. INTRODUCTION -- On the Real Economy -- On...

In the past few years there has been a large increase in portfolio capital flows into emerging markets, mostly fueled by mutual funds and other institutional investors. Based on a simple variance ratio test, this paper finds that emerging stock markets as a group experienced a sharp increase in...