Cross-Country Differences in Return and Volatility Metrics of World Equity Indices

Abstract This research seeks to determine whether the cross-country differences in return and volatility metrics various country equity indices can be explained by economic development. We base study on MSCI IMI net income two samples: a 51-country sample from period 31 May 2002 28 February 2022, 75-country 30 November 2010 2022. In this study, countries are grouped into four categories: frontier, emerging, early-developed, developed, based gross domestic product (GDP) per capita. The Kruskal–Wallis rank sum test is used find cross-group differences, results further analyzed with pairwise Wilcoxon Holm–Bonferroni p value adjustment method. relatively unintuitive show that there no significant difference daily monthly returns. There evidence of considerable metrics, especially case emerging market group, which significantly different three other groups. slightly sensitive time change very changes categories some countries.