Table 4

The Behavior of Emerging Market Returns


Country Attributes - March 1996
CountryICRGCICRGPICRGFICRGEIICCREMCRRINFLATETRDGDPPOPGRAAGEGRAVEAGEMKTCAPP/EP/BP/D
Argentina72.576.035.034.038.457.20.7%12.8%1.2%0.3%30.92230816.71.429.2
Brazil65.564.034.033.035.855.429.2%13.6%1.7%0.8%27.19394040.30.528.9
Chile80.576.043.041.559.279.87.6%42.1%1.6%0.6%29.03942115.91.926.1
China72.068.038.038.056.470.81.0%0.9%29.62949531.82.037.6
Colombia66.058.039.035.046.762.619.1%61.4%1.6%0.9%26.2665912.01.036.8
Czech Republic82.582.042.040.560.174.68.6%1234613.41.087.7
Greece75.076.038.036.049.873.38.5%60.2%0.3%0.6%38.91120010.82.124.6
Hungary76.079.040.032.543.667.729.6%49.7%-0.5%0.2%37.3295721.41.1125.0
India67.062.036.036.045.866.79.7%17.2%1.9%0.5%26.07114114.32.365.8
Indonesia70.565.039.037.051.873.210.5%43.9%1.5%0.8%26.25457126.63.5112.4
Jordan74.573.038.038.030.554.37.0%130.1%4.6%0.3%21.4327615.61.750.0
Malaysia79.575.043.041.068.484.53.3%166.4%2.3%0.6%24.816213428.43.783.3
Mexico69.566.040.033.041.258.843.8%37.2%2.0%0.9%24.86516218.61.7117.6
Nigeria50.554.023.024.014.832.369.9%40.7%3.0%0.0%21.5171212.23.323.3
Pakistan60.054.034.031.529.550.79.8%35.4%2.8%0.3%21.9664716.42.145.7
Peru64.059.034.034.527.247.511.6%20.2%742213.82.790.1
Philippines68.563.037.036.538.163.512.3%54.3%2.1%0.6%24.03972921.23.8153.8
Poland77.577.041.037.040.256.520.4%38.3%0.1%0.6%34.338938.51.884.7
Portugal83.583.043.041.068.881.92.5%56.1%-0.1%0.6%36.61140514.81.535.1
South Africa76.075.041.035.546.364.96.8%38.5%2.2%0.2%25.010598119.22.749.0
South Korea82.077.046.041.072.085.04.5%53.7%1.0%1.0%30.512503721.01.354.3
Sri Lanka66.561.036.035.532.550.611.8%80.7%1.3%0.9%28.213158.91.539.8
Taiwan83.075.048.043.078.991.53.0%86.7%11447521.62.885.5
Thailand76.569.043.041.063.482.15.4%64.9%1.0%1.2%27.99503620.53.155.9
Turkey60.555.036.030.040.458.478.9%31.6%1.9%0.6%26.52064112.23.740.2
Venezuela64.565.033.031.030.144.778.1%40.1%2.2%0.8%25.1265216.32.663.3
Zimbabwe63.566.028.032.532.250.525.8%74.8%2.4%0.2%21.416778.21.421.1
Rank Correlations
ICRGCICRGPICRGFICRGEIICCREMCRRINFLATETRDGDPPOPGRAAGEGRAVEAGEMKTCAPP/EP/BP/D
ICRGC1.000.890.900.840.820.82-0.700.40-0.590.250.570.470.28-0.170.23
ICRGP1.000.680.590.610.61-0.550.24-0.590.040.610.230.15-0.360.09
ICRGF1.000.830.880.88-0.590.43-0.500.420.440.580.31-0.030.30
ICRGE1.000.790.81-0.760.52-0.390.430.330.540.290.030.17
IICCR1.000.97-0.610.39-0.580.540.530.660.36-0.020.13
EMCRR1.00-0.650.38-0.540.440.480.710.450.060.21
INFLATE1.00-0.310.24-0.10-0.27-0.50-0.280.020.06
TRDGDP1.000.020.18-0.11-0.06-0.020.06-0.01
POPGR1.00-0.47-0.95-0.09-0.050.35-0.07
AAGEGR1.000.390.360.26-0.120.11
AVEAGE1.000.070.02-0.36-0.09
MKTCAP1.000.680.260.27
P/E1.000.160.37
P/B1.000.27
P/D1.00
Legend:
ICRGCPolitical Risk Services: International Country Risk Guide - Composite
ICRGPPolitical Risk Services: International Country Risk Guide - Political
ICRGFPolitical Risk Services: International Country Risk Guide - Financial
ICRGEPolitical Risk Services: International Country Risk Guide - Economic
IICCRInstitutional Investor Country Credit Ratings
EMCRREuromoney Country Risk Ratings
INFLATEAnnual Consumer Inflation: IFS Database
TRDGDPTrade Openness (Exports+Imports)/GDP
POPGRAnnual Growth in Total Population - UN Data
AAGEGRAnnual Growth in Average Age of Population - UN Data
AVEAGEAverage Age of Population - UN Data
MKTCAPIFC Global Market Capitalization (Millions of US$)
P/EIFC Global Price/Earnings Ratio
P/BIFC Global Price/Book Ratio
P/DIFC Global Price/Dividend Ratio


Last Updated: May 22, 1996

Analyst/Contact: Campbell R. Harvey

E-Mail Address: charvey@mail.duke.edu