Investability and Return Volatility in Emerging Equity Markets
研究新兴市场中股票的可投资性如何影响回报波动性，发现高可投资性股票波动更大，且与全球市场相关性更高，在1998年金融危机期间波动显著增加。
This paper examines how the stocks' investability affects the cross-sectional behavior of stock return volatility in emerging markets. We find that the highly investable stocks experienced higher volatility even after controlling for the country, industry, size, and turnover. We show that the highly investable emerging market portfolio is more correlated with the world market, and the non-investable portfolio is less correlated. The volatility of highly investable stocks increases substantially around the 1998 financial crisis, while the volatility of non-investable does not jump as much.