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Illustrates the impact of major events on UK share prices/returns in the last 35 years and the time series trends of Asian stock markets. Looks at the impact of the 1997 Asian crisis on Asian financial markets from the US investor’s point of view, comparing 1994‐1999 data for the “tiger markets” with the mature markets of the USA, UK and Japan using a conservative investment strategy to “minimize the probability of loss”. Shows that a mixed portfolio gave higher returns than US domestic returns with less risk. Confirms this using the tail index based on extreme value theory; and shows that correlation has a positive relationship with volatility but a negative relationship with returns. Adds that, during stock market downturn, the increase in correlation and volatility may cancel out the benefits of diversification.

This paper explored the new features of emerging stock markets, in order to point out the most associated indicators of increasing stock return volatility, which may lead to instability of emerging markets. The study covers a sample of five geographical areas of emerging economies, including Mexico, Korea, South Africa, Turkey, and Malaysia. It used the backward multiple‐regression technique to examine the relationship between monthly changes of stock price indices as dependent variable and the associated predicting local as well as international variables, which represent possible causes of increasing price volatility and initiating crises in emerging stock markets. The study covered monthly data for a period of forty‐eight months from January 1997 to December 2000. The study revealed that stock trading volume and currency exchange rate respectively represent the highest positive correlation to the emerging stock price changes; thus represent the most predicting variables of increasing price volatility. International stock price index, deposit interest rate, and bond trading volume were moderate predicting variables for emerging stock price volatility. While changes in inflation rate showed the least positive correlation to stock price volatility, thus represents the least predicting variable.