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Globalization and Asset Returns

Author

Listed:
  • Geert Bekaert

    (Graduate School of Business, Columbia University, New York, NY 10027
    National Bureau of Economic Research, Cambridge, Massachusetts 02138)

  • Campbell R. Harvey

    (National Bureau of Economic Research, Cambridge, Massachusetts 02138
    Fuqua School of Business, Duke University, Durham, North Carolina 27708)

  • Andrea Kiguel

    (Graduate School of Business, Columbia University, New York, NY 10027)

  • Xiaozheng Wang

    (PricewaterhouseCoopers, New York, NY 10017)

Abstract

We provide a comprehensive analysis of the impact of economic and financial globalization on asset return comovements over the past 35 years. Our globalization indicators draw a distinction between de jure openness that results from changes in the regulatory environment and de facto or realized openness, as well as between capital market restrictions across different asset classes. Although globalization has trended positively for most of our sample, the global financial crisis and its aftermath have provided new headwinds. Equity, bond, and foreign exchange returns often have different responses to globalization. We generally find weak evidence of comovement measures reacting to globalization and often find other economic factors to be equally or more important determinants.

Suggested Citation

  • Geert Bekaert & Campbell R. Harvey & Andrea Kiguel & Xiaozheng Wang, 2016. "Globalization and Asset Returns," Annual Review of Financial Economics, Annual Reviews, vol. 8(1), pages 221-288, October.
    • Handle: RePEc:anr:refeco:v:8:y:2016:p:221-288
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    File URL: http://www.annualreviews.org/doi/10.1146/annurev-financial-121415-032905
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    More about this item

    Keywords

    market integration; market segmentation; financial openness; trade openness; contagion; convergence; return comovements;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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