Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/34779
Title: The information content of stock markets : why do emerging markets have synchronous stock price movements?
Authors: Morck, R
Yeung, B
Yu, W 
Keywords: Asset pricing
Information and market efficiency
Event studies
International financial markets
Financial economics
Issue Date: 2000
Publisher: Elsevier
Source: Journal of financial economics, 2000, v. 58, no. 1-2, p. 215-260 How to cite?
Journal: Journal of financial economics
Abstract: 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.
URI: http://hdl.handle.net/10397/34779
ISSN: 0304-405X
DOI: 10.1016/S0304-405X(00)00071-4
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