Firm-Specific Variation and Openness in Emerging Markets
比较了新兴市场中个股收益的联动性，发现多数新兴市场公司特定波动上升、联动性下降，且公司特定波动与资本市场开放度正相关，但与商品市场开放度无关，制度质量会放大这一关系。
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. © 2004 President and Fellows of Harvard College and the Massachusetts Institute of Technology.