A recent major development in international finance has been the growing interest of the portfolio managers in emerging stock markets. The interest in the emerging markets has been accelerated by global trends towards the opening up of economies and financial markets, the free flow of capital and the privatisation of financial institutions. The integration of emerging markets globally has been hindered so far as, besides other several factors, participating in emerging securities markets has posed serious problems for international investors. “These markets lack the depth, regulatory framework, and structural safeguards that characterise equity markets in the ‘United States and in a few industrial countries,” [Medewitz et al. (1991)]. A peculiar risk of investing in the emerging markets, besides the currency, political and investment risk, is the “risk arising out of the development stage of emerging markets,” [Errunza and Losq (1987)]. Compounding the difficulties for the international investor is the lack of information pertinent for making investment decisions. A study of emerging markets, therefore, becomes important in shedding light on the economic and institutional characteristics of these markets.