Emerging Markets Free index

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Emerging Markets Free index (EMF)

A Morgan Stanley Capital International index created to track stock markets in selected emerging markets that are open to foreign investment like Argentina, Chile, Jordan, Malaysia, Mexico, Philippines, and Thailand.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.

Emerging Markets Free Index

An index published by Morgan Stanley Capital International (MSCI) that tracks stocks in developing countries with a great deal of foreign direct investment. Example countries with stocks tracked by the index include Argentina, Jordan, and Mexico. As with all MSCI indices, it is weighted for market capitalization.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved
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In absolute terms, around $ 1.5 trillion are benchmarked against the MSCI EMF index.
In absolute terms, around USD 1.5 trillion are benchmarked against the MSCI EMF index.
A Simple Linear Regression is fitted between the country returns and the returns on the EMF index to find out the extent to which the market determines the returns of the countries.
Each sample country shows a significant correlation with the MSCI's EMF index, indicating that there is a relationship between the returns of the sample countries and the emerging markets across the globe, which is significant at 10% level of significance.
As such, it appears that the EMF index should be useful in explaining the country returns.