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Firm-Specific Variation and Openness in Emerging Markets

  • 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)

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.

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Article provided by MIT Press in its journal Review of Economics and Statistics.

Volume (Year): 86 (2004)
Issue (Month): 3 (August)
Pages: 658-669

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Handle: RePEc:tpr:restat:v:86:y:2004:i:3:p:658-669
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