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Chiaku Chukwuogor

Eastern Connecticut State University, USA.



This paper examines the general patterns of recent global stock market returns and the volatility of such returns using 40 global stock indexes of countries classified into developed and emerging markets as barometers for the period 1997-2004. This classification is based on the classification suggested by Standard and Poor’s Credit Ratings Report by Hessel (2006). The paper, additionally, investigates the presence of the day-of-the-week return in these countries and the correlation of the returns of these global stock indexes to the US market. A set of parametric and non-parametric tests is used to test the significance of the standard deviations and further determine the correlation of the returns of these global stock indexes to the US market. Evidence suggests general high returns in emerging stock markets. Contrary to existing evidence, they were also very high returns in some developed stock markets. This evidence suggests that volatility of stock returns is a global phenomenon and not predominantly an emerging market issue as earlier findings indicate. The returns from the US markets are highly correlated to those of many countries in the sample. There is evidence of negative and low correlation of returns between the US stock markets and many global stock markets. These findings present interesting opportunities and dynamics for enhanced return through diversification in global portfolio investments.

Key words: returns, volatility, standard deviation, emerging, developed

JEL Classification code: G 14 , G 15