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
Author Info
Kan Li ()
Randall Morck ()
Fan Yang ()
Bernard Yeung ()

Additional information is available for the following registered author(s):

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.

Download Info
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 file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.wdi.umich.edu/files/Publications/WorkingPapers/wp623.pdf
File Format:
File Function:
Download Restriction: no

Publisher Info
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, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 34 pages
Date of creation: 01 Oct 2003
Date of revision:
Handle: RePEc:wdi:papers:2003-623

Contact 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).

Related research
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.:
  1. 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)
  2. 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)
  3. Simon Johnson et al., 2000. "Tunneling," American Economic Review, American Economic Association, vol. 90(2), pages 22-27, May. [Downloadable!] (restricted)
    Other versions:
  4. 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:
  5. 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:
  6. 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:
  7. 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)
  8. Kenneth D. West, 1988. "Dividend Innovations and Stock Price Volatility," NBER Working Papers 1833, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  9. 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:
  10. 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:
  11. 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)
  12. 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:
  13. 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:
  14. Timothy J. Vogelsang, 1998. "Trend Function Hypothesis Testing in the Presence of Serial Correlation," Econometrica, Econometric Society, vol. 66(1), pages 123-148, January.
  15. 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!]
  16. 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)
  17. 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)
  18. 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:
  19. 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.)

  1. 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)
  2. 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:
  3. 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)
  4. 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!]
  5. 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:
  6. Timotheos Angelidis, 2008. "Idiosyncratic Risk in Emerging Markets," Working Papers 0018, University of Peloponnese, Department of Economics. [Downloadable!]
  7. 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:
  8. 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)
    Other versions:
  9. 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)
Statistics
Access and download statistics

Did you know? Apart from a small start up grant in the 1990's, RePEc has received no funding and lives on the help of volunteers.

This page was last updated on 2008-9-20.

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.