Firm-Specific Variation and Openness in Emerging Markets

Kan Li (), Randall Morck, Fan Yang () and Bernard Yeung ()

William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan

Abstract: This paper compares the comovement of individual stock returns across emerging markets. Campbell et al. (2001) and Morck et al. (2000) show that the US in the post war period saw rising firm specific stock return variations and thus declining comovement. We detect a similar, albeit weaker, pattern in most, but not all, emerging markets. We further find that higher firm-specific variation is associated with greater capital market openness, but not goods market openness. Moreover, this relationship is magnified by institutional integrity (good government). Goods market openness is associated with higher market-wide variation.

JEL-codes: F21 F36 G1 O19 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2003-10-01
New Economics Papers: this item is included in nep-cfn and nep-tra
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Citations: View citations in EconPapers (2)

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Journal Article: Firm-Specific Variation and Openness in Emerging Markets (2004)
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