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Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of International Financial Markets, Institutions and Money, Volume 22, Issue 4, October 2012, Pages 834–854
This paper analyses the performances of 22 developed and 18 emerging markets over the period 2003–2010. The performance is assessed each year in a multi-dimensional risk-adjusted return framework using data envelopment analysis, and the trend in the performance is estimated in a fixed effects panel data model. The results reveal positive trends in only a small percentage of developed (9%) and emerging (11%) markets. A high percentage (45%) of developed markets show a gradual decline in performance, compared to emerging markets (11%). However, the developed markets outperformed the emerging markets from 2004 to 2008. Even though the emerging markets subsequently outperformed the developed markets in 2009 and 2010, their performance weakened from 2009 to 2010, whereas the performance of the developed markets improved. There is evidence of a positive association between equity market performance and market capitalisation and turnover. It appears that equity market performance is not related to inflation or gross domestic product per capita. According to the overall ranking, Malaysia is the best performer, followed by the USA, the Philippines, Israel and Switzerland. A discussion of the robustness of the results to three alternative performance measures (the Sharpe ratio, Treynor ratio and average excess returns per unit of downside deviation) is provided.
Have developed markets performed better than emerging markets on average, and has one given equity market performed better than the other global equity markets in the cross-section over a certain time period? These questions are critical for both global investors and those with long investment horizons. Each major index typically focuses on one market in a particular country, and therefore, the performance of a given equity market may be tracked through the movement in the price of the relevant major index. The common practice is to base any commentary on the equity market performance on the year-to-date return or yield. Another paradigm of performance measurement is the risk-adjusted return. Such measures have become increasingly important because the trade-off between risks and returns is the main focus of investment analysts. The risk-adjusted return is typically assessed through conventional ratios such as the Sharpe ratio (Sharpe, 1964) and the Treynor ratio (Treynor, 1965). One limitation of such conventional ratios is that they compute the performance using a single measure of returns (single output variable) and a single measure of risks (single input variable), and therefore may be thought of as measuring the performance in one dimension. We assess the risk-adjusted performance using data envelopment analysis (DEA). In DEA, the relative performance can be assessed based on several return factors (multiple output variables) and several risk factors (multiple input variables) together, and therefore the risk-adjusted performance may be considered as being measured in a multi-dimensional framework. The conventional ratios consider only one risk factor and one return factor at a time, although several risk characteristics of the investment may be important for the investor (Meric and Meric, 2001), and therefore the conventional ratios could lead to misleading conclusions (Thanassoulis, 2001). The strength of DEA stems from the fact that it requires minimal assumptions about the relationship between the risk and return factors.1 Further, DEA assesses the ‘best’ performance rather than estimating the average.2 Relative performance assessment is not new to the finance literature. A large number of studies have used DEA to assess the relative performances of institutions in the financial services sector; see Berger and Humphrey (1997) for a review of 130 DEA applications in finance. Financial applications of DEA in recent times include an assessment of the relative performances of banks (McEachern and Paradiet, 2007), mutual funds (Basso, 2003), insurance companies (Eling and Luhnen, 2010) and equity markets (Galagedera, 2010). A collection of DEA applications in a wide range of areas is listed by Charnes et al. (1994). DEA models assess performance in the cross-section. When panel data are available, the Malmquist productivity change index can be used to calculate the change in productivity (performance) across two periods. Färe et al. (1992) compute a Malmquist index of productivity change under the DEA framework.3 We focus on the trend in performance over a number of periods. This is important, because it is plausible that equity market returns computed over a short period may reflect investor sentiment on the strength of the economy or expectations about a given market's future potential, rather that the market's actual performance. We obtain an overview of the market's ability to sustain its performance in the long run by evaluating the performance over a series of short periods and estimating the trend in performance over the full period. Such information may be useful for framing trading strategies, especially for traders with long investment horizons. The aim of this study is to provide an overview of the impact of pro-market reform, economic development and regional and global financial crises on the long- to medium-term performance of equity markets. In a sense, this study is a stocktake of global equity markets from an operational perspective. Through a cross-country comparison of equity market performance, we provide valuable insights into ways in which equity markets may respond to allied domestic activity and related global events. This research is important, since knowledge of the competitiveness of equity markets in countries spread geographically across the globe would be beneficial to international investors, as well as to country regulators and policy makers. Syriopoulos (2006), in a study of major emerging Central European and developed stock markets, reveals that Central European markets tend to display stronger linkages with their mature counterparts than with their neighbours.4 Moreover, international portfolio diversification can be less effective across cointegrated markets, because the risk cannot be reduced substantially, and returns can exhibit a volatile reaction to domestic and international shocks (Syriopoulos, 2006). Analysts usually determine equity market trends by analysing the movement of the price index over long periods. We determine the trend in equity market performance by first assessing its relative performance over a number of years using DEA, then estimating the trend in relative performances using a fixed effects panel data model. To the best of our knowledge, no study has previously investigated the trend in risk-adjusted relative performances of global equity markets (assessed in a multi-dimensional framework). Using DEA and daily data, we assess the relative performances of 22 developed and 18 emerging markets each year from 2003 to 2010. We determine the trend in the performance of each equity market after controlling for market specific factors, such as size and liquidity, and country specific factors, such as gross domestic product per capita and inflation, in a fixed effects panel data model. The results reveal that developed markets generally outperformed emerging markets over the period 2004–2008. The opposite is observed in 2003, 2009 and 2010. The overall performance of developed (emerging) markets gets better (worse) after 2009. A similar result is observed when performance is assessed using conventional ratios such as the Sharpe ratio and the Treynor ratio. Ten out of the 22 developed markets reveal a negative trend in performance. On the other hand, out of 18 emerging markets, a negative trend in performance is observed in only two. Only two developed markets (Israel and Japan) and two emerging markets (Indonesia and Philippines) reveal an improvement in performance over the sample period. The five top performing markets are Malaysia, the USA, the Philippines, Israel and Switzerland, and the five worst performers are Russia, Norway, Finland, Turkey and Korea. We find that equity market performance is positively associated with turnover and market capitalisation, and is not associated with inflation or gross domestic product per capita. The rest of the paper is organised as follows. Section 2 explains the methodology, followed by a description of the data in Section 3. Section 4 discusses the results. The paper concludes in Section 6, after a robustness check in Section 5.
نتیجه گیری انگلیسی
The aim of this article is to assess the performance of a given equity market both relative to the other equity markets in the cross-section and over time. We assess the equity market performance using a nonparametric procedure known as data envelopment analysis (DEA). Conventional ratios measure the performance with only a single input, such as the total risk or systematic risk, and a single output, such as average excess returns. In DEA, we are able to assess the performance by considering several input and several output variables together. This is a clear advantage over the conventional ratio measures of performance. Using the DEA assessed performance scores as the dependent variable in a fixed effects panel data model, we estimate the trend in the performance of each equity market while controlling for market and country specific factors, namely liquidity, size, GDP per capita and inflation. The results from a sample of 22 developed and 18 emerging markets reveal that, over the eight-year period from 2003 to 2010, the emerging markets generally performed better than the developed markets. The trend in the performance is negative in a small percentage (11%) of emerging markets and a high percentage (45%) of developed markets. These markets are widely spread geographically, suggesting that the effects of the recent financial crisis are felt worldwide. On the other hand, only 10% of the markets reveal statistically significant positive trend in performance, of which two are developed markets (Israel and Japan) and the other two are emerging markets (Indonesia and Philippines). These results highlight potential diversification opportunities from the perspective of international investors with long-term investment horizons. Generally, emerging countries are known to offer diversification opportunities because of the empirically observed stylised fact of poor correlation between the returns in the stocks of emerging and developed markets. This study highlights that diversification opportunities may still exist over long investment horizons at the equity market level. In spite of being relatively big, more liquid and well regulated, the majority of the developed markets show a gradual decline in relative performances over the sample period. A cautious conclusion from this evidence is the existence of contagion among developed markets. Even though there is evidence to suggest that market capitalisation and liquidity are associated with the trend in the performance, it is difficult to claim a winning strategy based on them. A viable option for global investors would be to diversify their long-term exposure by investing in a portfolio of developed and emerging equity markets. This is now an attractive option, as all markets may be accessed at a low cost.