Firm-Specific Variation and Openness in Emerging Markets

34 Pages Posted: 24 Nov 2003

See all articles by Kan Li

Kan Li

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

Bernard Yin Yeung

National University of Singapore - Business School

Fan Yang

affiliation not provided to SSRN

Date Written: October 2003

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.

JEL Classification: G1, F21, F36, O19

Suggested Citation

Li, Kan and Morck, Randall K. and Yeung, Bernard Yin and Yang, Fan, Firm-Specific Variation and Openness in Emerging Markets (October 2003). William Davidson Institute Working Paper No. 623. Available at SSRN: https://ssrn.com/abstract=462120 or http://dx.doi.org/10.2139/ssrn.462120

Kan Li

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

Bernard Yin Yeung (Contact Author)

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)

Fan Yang

affiliation not provided to SSRN

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