PART IV: EMERGING MARKETS
After a comprehensive study of the equities (Part I), commodities (Part II) and currencies markets (Part III) volatilities in 2018, we are now going to focus on the volatility of the main emerging markets. Being well aware that emerging markets constitutes a vast universe, we will focus on a small, but in our view representative sample containing several different countries. And we shall study either the stock markets volatilities or the bonds markets volatilities, or both depending on the countries and the interest that they present. But before diving into the various emerging market countries’ specifics, let’s focus on two generic emerging markets stocks and bonds indices:
The ISHARES MSCI EM ETF and the ISHARES JPM EMB Bonds Index.
Where implied volatility data were available, we used them, for others, where there were none, we used the historical volatilities. So let’s start with the ISHARES MSCI EM ETF. Another sad and depressing story (if you were long that is…)