Globalization and Asset Prices

97 Pages Posted: 10 Mar 2010

See all articles by Geert Bekaert

Geert Bekaert

Columbia University - Columbia Business School, Finance

Xiaozheng Sandra Wang

PriceWaterhouseCoopers LLP - Financial services

Date Written: November 10, 2009

Abstract

We investigate whether the globalization process of the last thirty years has lead to “convergence” of asset prices in a wide set of countries, encompassing both developed and emerging markets. We examine several measures of convergence for interest rates (real and nominal) and bond and equity returns, and important fundamentals as inflation and earnings growth rates. While doing so, we extensively review the extant literature. Our results do not indicate strong effects of globalization on the convergence of asset prices, even though we document some links. In particular, financial openness matters relatively more than measures of corporate governance and political risk.

Keywords: globalization, market integration, asset prices, corporate governance, convergence, comovements, return correlations, diversification, trend test, factor model

JEL Classification: F36, F21, E44, G12

Suggested Citation

Bekaert, Geert and Wang, Xiaozheng Sandra, Globalization and Asset Prices (November 10, 2009). Available at SSRN: https://ssrn.com/abstract=1480463 or http://dx.doi.org/10.2139/ssrn.1480463

Geert Bekaert

Columbia University - Columbia Business School, Finance ( email )

NY
United States

Xiaozheng Sandra Wang (Contact Author)

PriceWaterhouseCoopers LLP - Financial services ( email )

1800 Tysons Blvd.
McLean, VA 22102
United States

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