Firm-Specific Variation and Openness in Emerging Markets

Review of Economics & Statistics 86(3) 658-69, 2004

University of Alberta School of Business Research Paper No. 2013-612

Posted: 7 Jun 2013

See all articles by Li Kan

Li Kan

Independent

Randall Morck

University of Alberta - Department of Finance and Statistical Analysis; National Bureau of Economic Research (NBER); European Corporate Governence Institute; Asian Bureau of Finance and Economic Research

Fan Yang

Independent

Bernard Yin Yeung

National University of Singapore - Business School

Date Written: June 16, 2003

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.

Suggested Citation

Kan, Li and Morck, Randall K. and Yang, Fan and Yeung, Bernard Yin, Firm-Specific Variation and Openness in Emerging Markets (June 16, 2003). Review of Economics & Statistics 86(3) 658-69, 2004; University of Alberta School of Business Research Paper No. 2013-612. Available at SSRN: https://ssrn.com/abstract=2275436

Li Kan (Contact Author)

Independent

No Address Available

Randall K. Morck

University of Alberta - Department of Finance and Statistical Analysis ( email )

2-32C Business Building
Edmonton, Alberta T6G 2R6
Canada
780-492-5683 (Phone)
780-492-3325 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

European Corporate Governence Institute ( email )

c/o ECARES ULB CP 114
B-1050 Brussels
Belgium

Asian Bureau of Finance and Economic Research ( email )

BIZ 2 Storey 4, 04-05
1 Business Link
Singapore, 117592
Singapore

Fan Yang

Independent ( email )

No Address Available

Bernard Yin Yeung

National University of Singapore - Business School ( email )

15 Kent Ridge Drive
BIZ 1 Level 6
Singapore, 119245
Singapore
65 6516 3075 (Phone)
65 6779 1365 (Fax)

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