TY - JOUR T1 - Risk and Return in the World's Major Stock Markets JF - The Journal of Investing SP - 62 LP - 66 DO - 10.3905/joi.2001.319452 VL - 10 IS - 1 AU - Gulser Meric AU - Ilhan Meric Y1 - 2001/02/28 UR - https://pm-research.com/content/10/1/62.abstract N2 - The Sharpe and Treynor indexes measure portfolio return performance in terms of only one risk characteristic, although several risk characteristics of the investment may be important for the investor. Data envelopment analysis (DEA), a new operations research technique, makes it possible to measure investment return performance in terms of a group of various risk characteristics that may be equally important for the investor. The authors use six different risk measures to compare the return performances of the world's 16 major stock markets during the 1988–1997 and 1995–1997 periods. The U.S. stock market had the best return performance in terms of systematic risk, return volatility, market capitalization, and book value/market equity individual risk characteristics in both periods. The U.S., Dutch, German, and Swiss stock markets had the best overall return performance in terms of all six risk characteristics in both periods. The U.K. stock market had one of the best overall return performances in terms of all six risk characteristics in the 1995-1997 period. ER -