This paper examines the volatility of equity returns in emerging markets and explores the factors that explain differences in volatility across these markets. The authors analyze time-series volatility, the distributional characteristics of returns, and the cross-sectional variation in volatility. They find that emerging market returns are more volatile than those in developed markets, with volatility ranging from 18% (Jordan) to 104% (Argentina), compared to 15% to 33% in developed markets. The authors also find that volatility is influenced by both world and local factors, with increasing world influence suggesting greater market integration. They investigate the impact of capital market liberalization on volatility and find that liberalization can increase volatility. The paper also explores the cross-section of volatility, finding that factors such as asset concentration, market capitalization to GDP, and trade sector size influence volatility differences across emerging markets. The authors use various models, including GARCH and SPARCH, to estimate volatility and find that asymmetric volatility effects are present. They conclude that volatility in emerging markets is influenced by a combination of world and local factors, with increasing world influence indicating greater integration. The paper also highlights the importance of understanding volatility in emerging markets for policymakers considering liberalization initiatives.This paper examines the volatility of equity returns in emerging markets and explores the factors that explain differences in volatility across these markets. The authors analyze time-series volatility, the distributional characteristics of returns, and the cross-sectional variation in volatility. They find that emerging market returns are more volatile than those in developed markets, with volatility ranging from 18% (Jordan) to 104% (Argentina), compared to 15% to 33% in developed markets. The authors also find that volatility is influenced by both world and local factors, with increasing world influence suggesting greater market integration. They investigate the impact of capital market liberalization on volatility and find that liberalization can increase volatility. The paper also explores the cross-section of volatility, finding that factors such as asset concentration, market capitalization to GDP, and trade sector size influence volatility differences across emerging markets. The authors use various models, including GARCH and SPARCH, to estimate volatility and find that asymmetric volatility effects are present. They conclude that volatility in emerging markets is influenced by a combination of world and local factors, with increasing world influence indicating greater integration. The paper also highlights the importance of understanding volatility in emerging markets for policymakers considering liberalization initiatives.