This paper, authored by Geert Bekaert and Campbell R. Harvey, examines the volatility of returns in emerging equity markets, which are significantly different from those in developed markets. The authors focus on the time-series and cross-sectional volatility of these markets, exploring the distributional foundations of variance processes and the influence of world factors. They use a variety of models, including the student t distribution and semi-parametric ARCH (SPARCH) models, to account for the nonnormal characteristics of emerging market returns. The study also investigates the impact of capital market liberalization policies on volatility and the role of global factors in driving volatility over time. Additionally, the authors analyze the cross-sectional patterns of volatility, examining factors such as asset concentration, market capitalization to GDP, and country credit ratings. The paper provides insights into the forces shaping volatility in emerging markets and contributes to the literature on international stock market linkages.This paper, authored by Geert Bekaert and Campbell R. Harvey, examines the volatility of returns in emerging equity markets, which are significantly different from those in developed markets. The authors focus on the time-series and cross-sectional volatility of these markets, exploring the distributional foundations of variance processes and the influence of world factors. They use a variety of models, including the student t distribution and semi-parametric ARCH (SPARCH) models, to account for the nonnormal characteristics of emerging market returns. The study also investigates the impact of capital market liberalization policies on volatility and the role of global factors in driving volatility over time. Additionally, the authors analyze the cross-sectional patterns of volatility, examining factors such as asset concentration, market capitalization to GDP, and country credit ratings. The paper provides insights into the forces shaping volatility in emerging markets and contributes to the literature on international stock market linkages.