Time-Varying Synchronicity in Individual Stock Returns: A Cross- Country Comparison
نویسندگان
چکیده
This paper compares the synchronicity of individual stock returns in different countries. For the US, Morck et al (2000) and Campbell et al (2001) show that the US in the post war period experienced an increase in firm specific stock return variations and thus a reduction in synchronicity. We show that a similar international trend, albeit weaker, is visible for many countries. Using both regression analyses and country case studies we find the trend to be related to capital market openness but not goods market openness. Moreover, the negative relationship between capital market openness and synchronicity is magnified by institutional integrity (good government).
منابع مشابه
Time Varying Synchronicity in Individual Stock Returns: A Cross-Country Comparison, by Kan Li, Randall Morck, Fan Yang, and Bernard Yeung. IMF Global Linkages Conference, Washington DC (January 20, 2003)
This paper compares the synchronicity of individual stock returns in different countries. For the US, Morck et al (2000) and Campbell et al (2001) show that the US in the post war period experienced an increase in firm specific stock return variations and thus a reduction in synchronicity. We show that a similar international trend, albeit weaker, is visible for many countries. Using both regre...
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