We conjecture that the degree to which a country protects private property
rights affects both the extent to which information is capitalized into stock
prices and the sort of information that is capitalized. While our econometric
evidence is consistent with this conjecture, we recognize that our explanation is
incomplete. We invite alternative explanations of our empirical finding that
stock returns are synchronous in low-income economies and asynchronous in
high-income economies. Any such explanations must be consistent with our
findings that market size, economy size, and many aspects of fundamentals
volatility do not affect the relation between per capita GDP and synchronicity,
but that measures of property rights protection render per capita GDP insignificant in explaining stock price synchronicity.