Supplementary Table: corr

Supplementary Table: corr_control
The Impact of Liberalizations on Correlation with World Market Returns


A. Intro=ADRs
l	NUMC	CONCR	STDL2	INFL	FXV	XMGDP	CCR	MCAP	STD*	Intro
0.9	0.017	0.004	-0.004	-0.006	-0.096	0.021	0.004	0.222	-0.110	0.003
	2.771	0.161	-0.751	-2.052	-2.006	0.860	0.254	12.072	-3.199	1.631

0.5	0.015	0.006	-0.004	-0.006	-0.103	0.020	0.002	0.218	-0.113	0.010
	2.550	0.231	-0.760	-2.243	-2.196	0.800	0.168	11.885	-3.352	2.137

0.1	0.017	0.007	-0.004	-0.006	-0.104	0.019	0.003	0.221	-0.111	0.010
	2.807	0.285	-0.776	-2.288	-2.214	0.780	0.224	12.138	-3.328	1.616

B. Intro=Country funds
l	NUMC	CONCR	STDL2	INFL	FXV	XMGDP	CCR	MCAP	STD*	Intro
0.9	0.016	0.000	-0.003	-0.007	-0.104	0.031	0.002	0.224	-0.110	0.005
	2.735	0.005	-0.732	-2.344	-2.234	1.291	0.174	12.344	-3.353	1.888

0.5	0.017	0.006	-0.003	-0.007	-0.104	0.022	0.006	0.224	-0.111	0.011
	2.913	0.253	-0.723	-2.325	-2.218	0.893	0.449	12.383	-3.290	2.121

0.1	0.018	0.008	-0.003	-0.007	-0.102	0.021	0.006	0.225	-0.111	0.012
	3.096	0.327	-0.698	-2.323	-2.173	0.852	0.460	12.499	-3.281	2.006

C. Intro=ADRs and Country Funds
l	NUMC	CONCR	STDL2	INFL	FXV	XMGDP	CCR	MCAP	STD*	Intro
0.9	0.014	0.001	-0.004	-0.006	-0.102	0.026	0.003	0.218	-0.109	0.004
	2.374	0.051	-0.745	-2.276	-2.197	1.041	0.225	11.914	-3.286	2.439

0.5	0.017	0.008	-0.003	-0.007	-0.104	0.021	0.006	0.226	-0.111	0.007
	2.907	0.324	-0.716	-2.302	-2.211	0.863	0.416	12.535	-3.318	1.537

0.1	0.018	0.010	-0.003	-0.007	-0.102	0.021	0.006	0.225	-0.111	0.009
	3.045	0.399	-0.703	-2.306	-2.170	0.838	0.424	12.606	-3.287	1.468

D.With Regulatory Liberalization Indicators
	NUMC	CONCR	STDL2	INFL	FXV	XMGDP	CCR	MCAP	STD*	PRE	DURING	POST	AFTER	WaldTest
	0.013	0.006	-0.004	-0.006	-0.114	0.023	0.003	0.208	-0.108	0.003	0.014	0.026	0.039	8.690
	2.120	0.216	-0.786	-2.115	-2.400	0.888	0.247	11.412	-3.143	0.559	1.879	2.856	3.745	0.003

Weighted	0.014	0.007	-0.004	-0.006	-0.115	0.022	0.005	0.208	-0.108	0.005	0.026	0.048	0.069	10.530
	2.193	0.242	-0.781	-2.118	-2.412	0.863	0.331	11.411	-3.102	0.524	1.942	3.085	3.826	0.001


E. With ADR, Country Fund and Regulatory Liberalization Indicators
	NUMC	CONCR	STDL2	INFL	FXV	XMGDP	CCR	MCAP	STD*	PRE	DURING	POST	AFTER	WaldTest
	0.017	0.011	-0.005	-0.007	-0.111	0.023	0.007	0.222	-0.103	0.001	0.013	0.015	0.020	3.190
	2.833	0.424	-1.080	-2.408	-2.342	0.925	0.528	12.286	-3.018	0.132	1.685	1.603	1.974	0.074

Weighted	0.016	0.012	-0.006	-0.007	-0.114	0.024	0.008	0.222	-0.102	0.003	0.026	0.030	0.040	4.250
	2.784	0.442	-1.119	-2.445	-2.393	0.970	0.566	12.307	-2.981	0.276	1.909	1.928	2.246	0.039


F. With Cumulative Net Capital Flow Break Points
	NUMC	CONCR	STDL2	INFL	FXV	XMGDP	CCR	MCAP	STD*	PRE	DURING	POST	AFTER	WaldTest
	0.017	0.012	-0.004	-0.007	-0.098	0.028	0.006	0.223	-0.112	0.009	0.010	0.019	0.021	1.470
	2.629	0.436	-0.749	-2.341	-2.037	1.121	0.402	12.160	-3.151	1.418	1.213	1.944	1.805	0.226

Weighted	0.017	0.043	-0.003	-0.009	-0.128	0.017	0.019	0.217	-0.117	0.018	0.023	0.044	0.051	2.890
	2.328	1.375	-0.519	-2.282	-2.110	0.328	1.119	10.717	-2.980	1.657	1.592	2.489	2.394	0.089
Group-wise heteroskedasticity and autocorrelation-consistent t-statistics are reported below the coefficients. In panels A-C, we estimate a time-series cross-sectional estimation with the fitted conditional correlations with the world market as the dependent variable. l represents how fast the additional impact of further liberalizations declines. With low ls, additional issues generate almost no additional effect. The Intro variable is defined in the panel title. In panels D-F, we estimate a model with dummy variables around the liberalization definition. In the regressions labeled 'weighted', we weight the dummy variables by the correlation with the world market return before the liberalization. The Wald test is whether the correlation declines from Pre to Post liberalization. All variable definitions are presented in Table 4.