Some of my conversations in the past few weeks have touched upon the market cap/firm size effect, and I have done related posts here here and here. A key observation running through these discussions has been that these effects, observed in US markets, may not work the same in this place and in this time. However until now I have lacked evidence that might suggest the fundamental reasons why firm size would work differently here as in the US.

Gini as a proxy for Market Structure

With apologies to Corrado Gini, I realized that we can create a Gini chart of market caps to study the structure of the stock markets in the various countries, and this might give us some idea as to how it impacts our inferences. After all, when one studies market cap quantiles as intensively as Ken French does, ...