This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Firm-Specific Variation and Openness in Emerging Markets Author info | Abstract | Publisher info | Download info | Related research | Statistics Kan Li ()
Randall Morck ()
Fan Yang ()
Bernard Yeung ()
Additional information is available for the following
registered author(s):
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.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by William Davidson Institute at the University of Michigan Stephen M. Ross Business School in its series William Davidson Institute Working Papers Series with number
2003-623.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length: 34 pages
Date of creation: 01 Oct 2003Date of revision:
Handle: RePEc:wdi:papers:2003-623Contact details of provider: Postal: 724 E. University Ave. Wyly Hall, Floor 1, Ann Arbor, Michigan 48109-1234 Phone: 734 615 4566 Fax: (734) 763-5850 Email: Web page: http://www.wdi.umich.edu More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Patricia Loh).
Keywords: Other versions of this item:
Find related papers by JEL classification: G1 - Financial Economics - - General Financial Markets F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration O19 - Economic Development, Technological Change, and Growth - - Economic Development - - - International Linkages to Development; Role of International Organizations
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Rajan, Raghuram G. & Zingales, Luigi, 2003.
"The great reversals: the politics of financial development in the twentieth century ,"
Journal of Financial Economics ,
Elsevier, vol. 69(1), pages 5-50, July.
[Downloadable!] (restricted)
Collins, Daniel W. & Kothari, S. P. & Rayburn, Judy Dawson, 1987.
"Firm size and the information content of prices with respect to earnings ,"
Journal of Accounting and Economics ,
Elsevier, vol. 9(2), pages 111-138, July.
[Downloadable!] (restricted)
Hali J. Edison & Francis E. Warnock, 2001.
"A Simple Measure of the Intensity of Capital Controls ,"
IMF Working Papers
01/180, International Monetary Fund.
[Downloadable!]
Other versions:
Hali J. Edison & Francis E. Warnock, 2001.
"A simple measure of the intensity of capital controls ,"
International Finance Discussion Papers
708, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!] Edison, Hali J. & Warnock, Francis E., 2003.
"A simple measure of the intensity of capital controls ,"
Journal of Empirical Finance ,
Elsevier, vol. 10(1-2), pages 81-103, February.
[Downloadable!] (restricted) Simon Johnson et al., 2000.
"Tunneling ,"
American Economic Review ,
American Economic Association, vol. 90(2), pages 22-27, May.
[Downloadable!] (restricted)
Other versions: Bekaert, Geert & Harvey, Campbell R, 1995.
" Time-Varying World Market Integration ,"
Journal of Finance ,
American Finance Association, vol. 50(2), pages 403-44, June.
[Downloadable!] (restricted)
Other versions: Kristin J. Forbes & Roberto Rigobon, 2002.
"No Contagion, Only Interdependence: Measuring Stock Market Comovements ,"
Journal of Finance ,
American Finance Association, vol. 57(5), pages 2223-2261, October.
[Downloadable!] (restricted)
Other versions: John Y. Campbell, 2001.
"Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk ,"
Journal of Finance ,
American Finance Association, vol. 56(1), pages 1-43, 02.
[Downloadable!] (restricted)
Other versions: Edward Glaeser & Simon Johnson & Andrei Shleifer, 2001.
"Coase Versus The Coasians ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 116(3), pages 853-899, August.
[Downloadable!] (restricted)
Kenneth D. West, 1988.
"Dividend Innovations and Stock Price Volatility ,"
NBER Working Papers
1833, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Wurgler, Jeffrey, 2000.
"Financial markets and the allocation of capital ,"
Journal of Financial Economics ,
Elsevier, vol. 58(1-2), pages 187-214.
[Downloadable!] (restricted)
Other versions: Randall Morck & Bernard Yeung & Wayne Wu, 1999.
"The Information Content of Stock Markets: Why do Emerging Markets have Synchronous Stock Price Movements? ,"
William Davidson Institute Working Papers Series
44, William Davidson Institute at the University of Michigan Stephen M. Ross Business School.
[Downloadable!]
Other versions: Chen, Zhiwu & Knez, Peter J, 1995.
"Measurement of Market Integration and Arbitrage ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 8(2), pages 287-325.
[Downloadable!] (restricted)
Campbell, John Y & Shiller, Robert J, 1987.
"Cointegration and Tests of Present Value Models ,"
Journal of Political Economy ,
University of Chicago Press, vol. 95(5), pages 1062-88, October.
[Downloadable!] (restricted)
Other versions: Frankel, Jeffrey, 2001.
"Assessing the Efficiency Gains from Further Liberalization ,"
Working Paper Series
rwp01-030, Harvard University, John F. Kennedy School of Government.
[Downloadable!]
William N. Goetzmann & Ning Zhu & Arturo Bris, 2003.
"Efficiency and the Bear: Short Sales and Markets around the World ,"
NBER Working Papers
9466, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Arturo Bris & William N. Goetzmann & Ning Zhu, 2003.
"Efficiency and the Bear: Short Sales and Markets around the World ,"
Yale School of Management Working Papers
ysm321, Yale School of Management.
[Downloadable!] Arturo Bris & William Goetzmann & Ning Zhu, 2004.
"Efficiency and the Bear: Short Sales and Markets Around the World ,"
Yale School of Management Working Papers
ysm327, Yale School of Management.
[Downloadable!] Arturo Bris & William N. Goetzmann & Ning Zhu, 2004.
"Efficiency and the Bear: Short Sales and Markets around the World ,"
Yale School of Management Working Papers
ysm15, Yale School of Management.
[Downloadable!] Arturo Bris & William N. Goetzmann & Ning Zhu, 2007.
"Efficiency and the Bear: Short Sales and Markets Around the World ,"
Journal of Finance ,
American Finance Association, vol. 62(3), pages 1029-1079, 06.
[Downloadable!] (restricted) Timothy J. Vogelsang, 1998.
"Trend Function Hypothesis Testing in the Presence of Serial Correlation ,"
Econometrica ,
Econometric Society, vol. 66(1), pages 123-148, January.
Laura Beny, .
"A Comparative Empirical Investigation of Agency and Market Theories of Insider Trading ,"
University of Michigan John M. Olin Center for Law & Economics Working Paper Series
umichlwps-1003, University of Michigan John M. Olin Center for Law & Economics.
[Downloadable!]
Artyom Durnev & Randall Morck & Bernard Yeung & Paul Zarowin, 2003.
"Does Greater Firm-Specific Return Variation Mean More or Less Informed Stock Pricing? ,"
Journal of Accounting Research ,
Blackwell Publishing, vol. 41(5), pages 797-836, December.
[Downloadable!] (restricted)
Art Durnev & Randall Morck & Bernard Yeung, 2004.
"Value-Enhancing Capital Budgeting and Firm-specific Stock Return Variation ,"
Journal of Finance ,
American Finance Association, vol. 59(1), pages 65-105, 02.
[Downloadable!] (restricted)
Rafael La Porta & Florencio Lopez-De-Silanes & Andrei Shleifer, 1999.
"Corporate Ownership Around the World ,"
Journal of Finance ,
American Finance Association, vol. 54(2), pages 471-517, 04.
[Downloadable!] (restricted)
Other versions: Randall K. Morck & David A. Strangeland & Bernard Yeung, 1998.
"Inherited Wealth, Corporate Control and Economic Growth ,"
William Davidson Institute Working Papers Series
209, William Davidson Institute at the University of Michigan Stephen M. Ross Business School.
[Downloadable!]
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Forbes, Kristin J., 2004.
"Capital Controls: Mud in the Wheels of Market Discipline ,"
Working papers
4454-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
[Downloadable!]
Other versions: Hyunbae Chun & Jung-Wook Kim & Jason Lee & Randall Morck, 2004.
"Patterns of Comovement: The Role of Information Technology in the U.S. Economy ,"
NBER Working Papers
10937, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Sónia Sousa & Ana Serra, 2008.
"What drives idiosyncratic volatility over time? ,"
Portuguese Economic Journal ,
Springer, vol. 7(3), pages 155-181, December.
[Downloadable!] (restricted)
Timotheos Angelidis & Nikolaos Tessaromatis, 2007.
"Idiosyncratic Risk in Greece: Properties and Portfolio Implications ,"
Working Papers
0001, University of Peloponnese, Department of Economics.
[Downloadable!]
Huang, Yongfu & Temple, Jonathan, 2005.
"Does External Trade Promote Financial Development? ,"
CEPR Discussion Papers
5150, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Timotheos Angelidis, 2008.
"Idiosyncratic Risk in Emerging Markets ,"
Working Papers
0018, University of Peloponnese, Department of Economics.
[Downloadable!]
William H. Greene & Abigail S. Hornstein & Lawrence J. White & Bernard Y. Yeung, 2006.
"Multinationals Do It Better: Evidence on the Efficiency of Corporations’ Capital Budgeting ,"
Working Papers
06-04, New York University, Leonard N. Stern School of Business, Department of Economics.
[Downloadable!]
Other versions: Chari, Anusha & Henry, Peter B., 2006.
"Firm-Specific Information and the Efficiency of Investment ,"
Research Papers
1930, Stanford University, Graduate School of Business.
[Downloadable!]
Other versions:
Anusha Chari & Peter Blair Henry, 2006.
"Firm-Specific Information and the Efficiency of Investment ,"
NBER Working Papers
12186, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Chari, Anusha & Henry, Peter B., 2007.
"Firm-Specific Information and the Efficiency of Investment ,"
Research Papers
1975, Stanford University, Graduate School of Business.
[Downloadable!] Chari, Anusha & Blair Henry, Peter, 2008.
"Firm-specific information and the efficiency of investment ,"
Journal of Financial Economics ,
Elsevier, vol. 87(3), pages 636-655, March.
[Downloadable!] (restricted) Karolyi, G. Andrew & Lee, Kuan Hui & van Dijk, Mathijs A., 2007.
"Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World ,"
Working Paper Series
2007-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
[Downloadable!]
Diego Comin & Thomas Philippon, 2005.
"The Rise in Firm-Level Volatility: Causes and Consequences ,"
NBER Working Papers
11388, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Kristin J. Forbes, 2005.
"The Microeconomic Evidence on Capital Controls: No Free Lunch ,"
NBER Working Papers
11372, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Bernard Yeung & Lubomir Litov & Kose John, 2004.
"Corporate Governance and Managerial Risk Taking: Theory and Evidence Author-Name: Bernard Yeung ,"
Working Papers
04-35, New York University, Leonard N. Stern School of Business, Department of Economics.
[Downloadable!]
Henry, Peter B., 2007.
"Capital Account Liberalization: Theory, Evidence, and Speculation ,"
Research Papers
1974, Stanford University, Graduate School of Business.
[Downloadable!]
Other versions:
Peter Blair Henry, 2006.
"Capital Account Liberalization: Theory, Evidence, and Speculation ,"
NBER Working Papers
12698, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Peter Blair Henry, 2006.
"Capital account liberalization: theory, evidence, and speculation ,"
Working Paper Series
2007-32, Federal Reserve Bank of San Francisco.
[Downloadable!] Henry, Peter B., 2006.
"Capital Account Liberalization: Theory, Evidence, and Speculation ,"
Research Papers
1951, Stanford University, Graduate School of Business.
[Downloadable!] Peter Blair Henry, 2007.
"Capital Account Liberalization: Theory, Evidence, and Speculation ,"
Journal of Economic Literature ,
American Economic Association, vol. 45(4), pages 887-935, December.
Access and
download statistics Did you know? You can import bibliographic info in various formats into you bibliographic tool, or just into your word processor. See under "publisher info" on each abstract page.
This page was last updated on 2009-11-19.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .