Globalization and Asset Returns

Posted: 18 Nov 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)

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: October 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.

Suggested Citation

Bekaert, Geert and Harvey, Campbell R. and Kiguel, Andrea and Wang, Xiaozheng Sandra, Globalization and Asset Returns (October 2016). Annual Review of Financial Economics, Vol. 8, pp. 221-288, 2016, Available at SSRN: https://ssrn.com/abstract=2870867 or http://dx.doi.org/10.1146/annurev-financial-121415-032905

Geert Bekaert (Contact Author)

Columbia Business School - Finance and Economics ( email )

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Campbell R. Harvey

Duke University - Fuqua School of Business ( email )

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Durham, NC 27708-0120
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919-660-7768 (Phone)

HOME PAGE: http://www.duke.edu/~charvey

National Bureau of Economic Research (NBER)

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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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