An Empirical Analysis of Emerging Stock Markets of Europe

Abstract

This paper examines several aspects of the seven stock markets in Europe classified by the International Finance Corporation (IFC) as emerging markets. Specifically, we investigate correlations among the European emerging markets as well the U.S. and U.K. equity markets. In addition, we test for market efficiency and autocorrelation. Using weekly stock market data from the IFC, our findings indicate the greatest potential diversification benefits from a portfolio containing equities from Slovakia, Turkey, and the U.S. Further, we find that returns for Greece, Slovakia, and Turkey are unstable over time. Based on our results, we conclude that European emerging markets overall are unpredictable. Finally, our results show evidence of autocorrelation in European emerging markets.

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