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Firm-Specific Variation and Openness in Emerging Markets

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  • Kan Li
  • Randall Morck
  • Fan Yang
  • Bernard Yeung

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.

Suggested Citation

  • Kan Li & Randall Morck & Fan Yang & Bernard Yeung, 2003. "Firm-Specific Variation and Openness in Emerging Markets," William Davidson Institute Working Papers Series 2003-623, William Davidson Institute at the University of Michigan.
    • Handle: RePEc:wdi:papers:2003-623
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    References listed on IDEAS

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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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