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Globalization and Asset Returns

Geert Bekaert (), Campbell R. Harvey (), Andrea Kiguel () and Xiaozheng Wang ()
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Campbell R. Harvey: National Bureau of Economic Research, Cambridge, Massachusetts 02138
Andrea Kiguel: Graduate School of Business, Columbia University, New York, NY 10027
Xiaozheng Wang: PricewaterhouseCoopers, New York, NY 10017

Annual Review of Financial Economics, 2016, vol. 8, issue 1, 221-288

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.

Keywords: market integration; market segmentation; financial openness; trade openness; contagion; convergence; return comovements (search for similar items in EconPapers)
JEL-codes: F36 F65 G12 G15 (search for similar items in EconPapers)
Date: 2016
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