A number of countries have delayed the opening of their capital markets to international investment because of reservations about the impact of foreign speculators on both expected returns and market volatility. We propose a cross-sectional time-series model that attempts to assess the impact of market liberalizations, in the form of the offering of depositary receipts, country funds and other financial instruments, in an extranational market, on the cost of capital and market volatility in emerging equity markets. We also examine the impact of capital market liberalizations on the correlation of emerging equity market reutrns and the world market return. Our empirical approach is designed to control for other economic events which might confound the impact of foreign speculators on local equity markets. Whatever the empirical specifications, the cost of capital always decreases after a capital market liberalization but the effect is economically and statistically weak. The effects on volatility and correlation are less robust.