Abstract-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 similar, albeit weaker, pattern in most, but not all, emerging markets. We further find that higher firm-specific variation is associated with greater capital market openness, but not goods market openness. Moreover, this relationship is magnified by institutional integrity (good government). Goods market openness is associated with higher marketwide variation.The price system is just one of those formations which man has learned to use (though he is still very far from having learned to make the best use of it) after he has stumbled upon it without understanding it.Friedrich August von Hayek (1945)

Investment Shocks and the Commodity Basis Spread I identify a "slope" factor in the cross section of commodity futures returns. Low-basis commodity futures have higher loadings on this factor than high-basis commodity futures. This slope factor and a level factor-an index of commodity futures-jointly explain most of the average excess returns of commodity futures portfolios sorted by basis. More importantly, I find that this factor is significantly correlated with investment shocks, which represent the technological progress in producing new capital. I investigate a competitive dynamic equilibrium model of commodity production to endogenize this correlation. The model reproduces the cross-sectional futures returns.

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