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Firm-Specific Variation and Openness in Emerging Markets

Author

Listed:
  • Kan Li

    (University of Alberta School of Business)

  • Randall Morck

    (University of Alberta School of Business and NBER)

  • Fan Yang

    (University of Alberta School of Business)

  • Bernard Yeung

    (Stern School of Business, New York University)

Abstract

This paper compares the comovement of individual stock returns across emerging markets. Campbell et al. and Morck et al. have shown that the United States saw rising firm-specific stock return variations, and thus declining comovement, over the second half of the twentieth century. 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 marketwide variation. © 2004 President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Suggested Citation

  • Kan Li & Randall Morck & Fan Yang & Bernard Yeung, 2004. "Firm-Specific Variation and Openness in Emerging Markets," The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 658-669, August.
  • Handle: RePEc:tpr:restat:v:86:y:2004:i:3:p:658-669
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    References listed on IDEAS

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    1. Edward Glaeser & Simon Johnson & Andrei Shleifer, 2001. "Coase Versus the Coasians," The Quarterly Journal of Economics, Oxford University Press, vol. 116(3), pages 853-899.
    2. 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, February.
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    More about this item

    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, Innovation, Technological Change, and Growth - - Economic Development - - - International Linkages to Development; Role of International Organizations

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