Investibility and Return Volatility in Emerging Equity Markets

36 Pages Posted: 25 Jul 2003

See all articles by Kee-Hong Bae

Kee-Hong Bae

York University - Schulich School of Business

Kalok Chan

CUHK Business School

Angela Ng

Hong Kong University of Science & Technology (HKUST) - Department of Finance

Date Written: March 20, 2003

Abstract

Unlike previous studies that examine how emerging market return volatility changes subsequent to stock market liberalization, this paper investigates the impact of investibility, or the degree to which a stock can be foreign-owned, on emerging market volatility. We find a positive relation between return volatility and the investibility of individual stocks, even after controlling for country, industry, firm size, and turnover. We also find that a highly investible emerging market portfolio is subject to larger world market exposure than a non-investible portfolio, suggesting that highly investible stocks are more integrated with the world and therefore more vulnerable to world market risk.

Suggested Citation

Bae, Kee-Hong and Chan, Kalok and Ng, Angela, Investibility and Return Volatility in Emerging Equity Markets (March 20, 2003). Available at SSRN: https://ssrn.com/abstract=326481 or http://dx.doi.org/10.2139/ssrn.326481

Kee-Hong Bae

York University - Schulich School of Business ( email )

4700 Keele Street
Toronto, Ontario M3J 1P3
Canada
416-736-2100 ext) 20248 (Phone)
416-736-5687 (Fax)

Kalok Chan (Contact Author)

CUHK Business School ( email )

Hong Kong
852 3943 9988 (Phone)

Angela Ng

Hong Kong University of Science & Technology (HKUST) - Department of Finance ( email )

Clear Water Bay, Kowloon
Hong Kong

Register to save articles to
your library

Register

Paper statistics

Downloads
336
Abstract Views
1,918
rank
87,825
PlumX Metrics