Investibility and return volatility

• 成果类型: Article
• 署名作者: Bae, KH; Chan, K; Ng, A
• 署名单位: Hong Kong University of Science & Technology; Korea University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(03)00166-1
• 发表日期: 2004
• 页码: 239-263
• 关键词: emerging market; stock return volatility; Investibility; market integration

摘要

Unlike previous studies that examine how emerging market return volatility changes subsequent to stock market liberalization, this paper investigates the impact of investibility, or the degree to which a stock can be foreign-owned, on emerging market volatility. We find a positive relation between return volatility and the investibility of individual stocks, even after controlling for country, industry, firm size, and turnover. We also find that a highly investible emerging market portfolio is subject to larger world market exposure than a non-investible portfolio, suggesting that highly investible stocks are more integrated with the world and therefore more vulnerable to world market risk. (C) 2003 Elsevier B.V. All rights reserved.