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

Journal of Financial Economics

Volumn 58, Issue 1-2, 2000, Pages 215-260

  Morck, Randall ^a   Yeung, Bernard ^b   Yu, Wayne ^c  

^a UNIVERSITY OF ALBERTA   (Canada)

^b NEW YORK UNIVERSITY   (United States)

^c HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

Author keywords

Asset pricing; Event studies; Financial economics; G12; G14; G15; G38; Information and market efficiency; International financial markets; N20

Indexed keywords

EID: 0001373089     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0304-405x(00)00071-4     Document Type: Article

References (18)

1. Bhattacharya U., Daouk H., Jorgenson B., Kehr C. When an event is not an event. the curious case of an emerging market Journal of Financial Economics. 55:2000;69-101.
2. Bernstein, J., Weinstein, D., 1998. Do endowments predict the location of production? evidence from national and international data. Unpublished working paper #6815. National Bureau of Economic Research, Cambridge, MA.
3. Campbell, J., M. Lettau, B. Malkiel, Y. Xu, 2000. Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. Journal of Finance. Forthcoming.
4. Daniels R., Morck R. Corporate Decision Making in Canada. 1994;University of Calgary Press, Calgary.
5. De Long J.B., Shleifer A., Summers L.H., Waldmann R.J. The size and incidence of the losses from noise trading. Journal of Finance. 44:1989;681-696.
6. De Long J.B., Shleifer A., Summers L.H., Waldmann R.J. Noise trader risk in financial markets. Journal of Political Economy. 98:1990;703-738.
7. Fisman, R., 1999. It's not what you know... estimating the value of political connections. Unpublished manuscript.
8. French K.R., Roll R. Stock return variances. the arrival of information and the reaction of traders Journal of Financial Economics. 17:1986;5-26.
9. Grossman S. On the efficiency of competitive stock markets where traders have diverse information. Journal of Finance. 31:1976;573-585.
10. La Porta R., Lopez de-Silanes F., Shleifer A., Vishny R.W. Law and finance. Journal of Political Economy. 106:1998;1112-1155.
11. La Porta R., Lopez de-Silanes F., Shleifer A., Vishny R.W. The quality of government. Unpublished working paper #6727. 1998;National Bureau of Economic Research, Cambridge.
12. La Porta R., Lopez-de-Silanes F., Shleifer A. Corporate ownership around the world. Journal of Finance. 54:1999;471-517.
13. Roll R. Industrial structure and the comparative behavior of international stock market indices. Journal of Finance. 47:1992;3-41.
14. 2. Journal of Finance 43, 541-566.
15. Shleifer, A., 1994. Establishing property rights. Annual Conference Supplement, World Bank Research Observer, 93-117.
16. Shleifer A., Vishny R.W. The limits of arbitrage. Journal of Finance. 52:1997;35-55.
17. Wurgler J. Financial markets and the allocation of capital. Journal of Financial Economics. 58:2000;187-214.
18. Zingales L. The value of the voting right. a study of the Milan stock exchange experience Review of Financial Studies. 7:1994;125-148.