The information content of stock markets: why do emerging markets have synchronous stock price movements?

• 成果类型: Article
• 署名作者: Morck, R; Yeung, B; Yu, W
• 署名单位: University of Alberta; New York University; Hong Kong Polytechnic University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(00)00071-4
• 发表日期: 2000
• 页码: 215-260
• 关键词: Asset pricing; information and market efficiency; event studies; international financial markets; financial economies

摘要

Stock prices move together more in poor economies than in rich economies. This finding is not due to market size and is only partially explained by higher fundamentals correlation in low-income economies. However, measures of property rights do explain this difference. The systematic component of returns variation is large in emerging markets, and appears unrelated to fundamentals co-movement, consistent with noise trader risk. Among developed economy stock markets, higher firm-specific returns variation is associated with stronger public investor property rights. We propose that strong property rights promote informed arbitrage, which capitalizes detailed firm-specific information. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification. G12; G14: G15; G38; N20.