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Firm-specific Variation and Openness in Emerging Markets.
- Source :
- Review of Economics & Statistics; Aug2004, Vol. 86 Issue 3, p658-669, 12p, 4 Charts, 2 Graphs
- Publication Year :
- 2004
-
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. [ABSTRACT FROM AUTHOR]
- Subjects :
- RATE of return on stocks
EMERGING markets
ECONOMIC trends
CAPITAL market
Subjects
Details
- Language :
- English
- ISSN :
- 00346535
- Volume :
- 86
- Issue :
- 3
- Database :
- Complementary Index
- Journal :
- Review of Economics & Statistics
- Publication Type :
- Academic Journal
- Accession number :
- 14309997
- Full Text :
- https://doi.org/10.1162/0034653041811789