An empirical analysis of stock price synchronicity in emerging and developed economies

The paper examine the stock markets of 41 countries over a 10 year period from January 1996 to December 2005 using the classical stock synchronicity measure developed by Morck et al. (2000). The study finds evidence that stock markets in emerging economies are more synchronous than in developed financial market. In separate panel data analysis there is evidence that countries with higher stock synchronicity have higher levels of inflation and lower levels of government accountability and corporate transparency. It is also apparent that in civil law countries stock synchronicity is more closely associated with the level of corporate governance than is apparent in cotton law countries.