Winner-Loser Reversals in National Stock Market Indices [electronic resource] : Can they Be Explained? Richards, Anthony J..
- Washington, D.C. : International Monetary Fund, 1997.
- IMF eLibrary
IMF Working Papers; Working Paper No. 97/182.
IMF Working Papers; Working Paper No. 97/182
- Government document
1 online resource (22 p.)
- Local subjects:
Monte carlo simulations.
Stock market development.
Stock market indices.
World stock market.
- This paper examines possible explanations for “winner–loser reversals” in the national stock market indices of 16 countries. There is no evidence that loser countries are riskier than winner countries either in terms of standard deviations, covariance with the world market or other risk factors, or performance in adverse economic states of the world. While there is evidence that small markets are subject to larger reversals than large markets, perhaps because of some form of market imperfection, the reversals are not just a small-market phenomenon. The apparent anomaly of winner-loser reversals in national market indices therefore remains unresolved.
- Description based on print version record.
- Richards, Anthony J.
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