ビジネスと経済ジャーナル

Propensity for Growth of Stock Prices in Emerging Markets: A Logit Panel Approach

Abstract

Luiz Paulo Lopes Fávero, José Elias Feres de Almeida and RenataTurola Takamatsu

We investigate the effects of financial variables to increase the propensity for growth of capital markets stock indexes in60 emerging markets. We draw our sample from Compustat Global during a 257-month period (1986-2007) for a total of 9,759 observations. Our data indicate that price-to-book and turnover ratio leads to positive monthly returns of stock indexes, while evidence for traded volume is weak. However, market capitalization has a negative influence and reduces the probability of positive returns, suggesting that price pressure for transitory returns exists in these markets. This paper contributes to the financial market literature about emerging markets. It also provides useful information to regulators, investors, and practitioners for developing policies and strategies to improve the development of financial markets.