Emerging stock markets have been identified as being at least partially segmented from global capital markets. As a consequence, it has been argued that local risk factors rather than world risk factors are the primary source of equity return variation in these markets. This paper seeks to address the question of whether macroeconomic variables may proxy for local risk sources. We find moderate evidence to support this hypothesis. Further, we investigate the degree of commonality in exposures across emerging stock market returns using a principal components approach. We find little evidence of commonalit y when emerging markets are considered collectively, however at the regional level considerable commonality is found to exist.

Empirical research on firms' (dis)incentives to disclose investigates the effects of a range of variables including information asymmetry, agency costs, political costs, and proprietary costs. Verrecchia (2001) argues that economic-based models of disclosure must establish a link between financial reporting and its economic consequences. In response to Verrecchia (2001) and drawing on the industrial organization and strategic management disciplines we introduce a new variable (measuring insider ownership and industry competition) which links both the internal and external environments of the firm and demonstrate that it adds to our understanding of discretionary financial disclosure decisions. We test the model by examining voluntary segment disclosures in Australian firms. We find that our new variable linking the internal and external environment of the firm, alongside previously tested variables including ownership diffusion, return and size is significant. We conduct a series of robustness tests on our model and find that the significance of the model is robust to the inclusion of variables measuring the change in standard, acquisitions and disposals and cross listing on the US stock exchange.

The working paper series is for manuscripts in draft form. Comments are welcome and should be sent to the contact author. Please do not quote without permission.

No abstract

This paper examines the trend towards regionalism upon stock market returns for a sample of Asian countries. We find that stock markets are becoming regionally integrated at a faster rate than globally. This finding reflects the growing co-operation between Asian countries. This study focuses upon Indonesia, Malaysia, the Philippines, South Korea, Taiwan and Thailand. These markets suffered severe contagion effects in relation to the Asian financial crisis that occurred during 1997. In addition, this study reports on the significant economic and political events that occurred in Asian economies from 1980. This study concludes that increases in liberalization coupled with stronger 'regionalism' in South East Asia contributed to the Asian financial crisis in 1997, in addition the structural weaknesses in their financial systems. Policy setters may consider reducing the amount of intra-regional dependence in order to reduce the impact of financial crises and improve stability of the financial system and re-examine the correct sequencing of both economic and financial liberalization.