Li, Kan; Morck, Randall; Yang, Fan; Yeung, Bernard - In: The Review of Economics and Statistics 86 (2004) 3, pp. 658-669
This paper compares the comovement of individual stock returns across emerging markets. Campbell et al. and Morck et al. have shown that the United States saw rising firm-specific stock return variations, and thus declining comovement, over the second half of the twentieth century. We detect a...