توسعه مالی و بازده سهام : تجزیه و تحلیل متقابل کشور

We examine stock returns in a cross section of emerging and mature markets (49 countries) over the period 1980–1999. Stock returns are found to be significantly related to the degree of financial development. In general, a deeper and higher quality banking system is associated with lower volatility of stock returns and a greater synchronization in the movements of domestic and world returns. International synchronization is also greater the more liquid the stock market.

There exists a large literature dealing with the cross-country analysis of stock returns (Bekaert and Harvey, 1995, Bekaert and Harvey, 1997, Erb et al., 1996a, Erb et al., 1996b and Rouwenhorst, 1999). Interestingly, this literature has been exclusively preoccupied with the determinants of cross-country differences in stock return performance within a type of market (emerging or mature) rather than across different types. In this paper we pool emerging and mature equity markets together and investigate to what degree the observed cross-country differences in the moments of stock returns can be accounted for by an obvious but so far overlooked candidate, namely the level of financial development. 1

Understanding the causes of the observed cross-country differences in stock returns is an important challenge. Part of the recent literature has attempted to address this issue by appealing to cross-country macroeconomic differences. The present paper falls within this approach. The main differences from the existing literature are two: first, we study mature and emerging markets together. And second, instead of examining as broad a set of explanatory variables as possible, we restrict ourselves to a particular, very plausible but so far overlooked variable, namely the level of financial development. There exist good theoretical reasons for this choice, as the recent work on financial development and output growth and volatility has hinted.