Globalization and Asset Returns

79 Pages Posted: 28 Aug 2016

See all articles by Geert Bekaert

Geert Bekaert

Columbia Business School - Finance and Economics

Campbell R. Harvey

Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER); Duke Innovation & Entrepreneurship Initiative

Andrea Kiguel

Columbia University - Columbia Business School

Xiaozheng Sandra Wang

PriceWaterhouseCoopers LLP - Financial services

Multiple version iconThere are 2 versions of this paper

Date Written: August 16, 2016

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

JEL Classification: G15, G12, F36, F65

Suggested Citation

Bekaert, Geert and Harvey, Campbell R. and Kiguel, Andrea and Wang, Xiaozheng Sandra, Globalization and Asset Returns (August 16, 2016). Duke I&E Research Paper No. 2016-40; Columbia Business School Research Paper No. 16-64. Available at SSRN: https://ssrn.com/abstract=2830700 or http://dx.doi.org/10.2139/ssrn.2830700

Geert Bekaert

Columbia Business School - Finance and Economics ( email )

3022 Broadway
New York, NY 10027
United States

Campbell R. Harvey (Contact Author)

Duke University - Fuqua School of Business ( email )

Box 90120
Durham, NC 27708-0120
United States
919-660-7768 (Phone)
919-660-8030 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Duke Innovation & Entrepreneurship Initiative ( email )

215 Morris St., Suite 300
Durham, NC 27701
United States

Andrea Kiguel

Columbia University - Columbia Business School ( email )

3022 Broadway
New York, NY 10027
United States

Xiaozheng Sandra Wang

PriceWaterhouseCoopers LLP - Financial services ( email )

1800 Tysons Blvd.
McLean, VA 22102
United States

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