Dollar-Weighted Return on Aggregate Corporate Sector: How is it Distributed Across Countries?

42 Pages Posted: 30 Jul 2018 Last revised: 10 Sep 2018

See all articles by Lingxia Sun

Lingxia Sun

Sun Yat-sen University (SYSU) - ISBF; Nankai University - Business School; Korea University Business School (KUBS)

Dong Wook Lee

Korea University

Date Written: September 7, 2018


This paper computes the dollar-weighted returns (DWRs) on the aggregate corporate sector in each of the 43 sample countries, and shows that the DWRs in U.S. dollars are similar across countries. In contrast, the local-currency DWRs are found to be different across countries, suggesting a role played by currency in the parity of DWRs. It turns out that countries that are financially closed have a higher DWR in local currency but a lower return on their currencies and, consequently, DWRs in U.S. dollars converge across countries. The speed of convergence in DWR (in U.S. dollars) is also related to financial openness. That is, the convergence of a country’s DWR to the global benchmark is faster, the more financially open is the country. Taken together, our results are consistent with a version of efficient international capital markets where capital flows in such a way that the marginal product of capital is equalized across countries.

Keywords: Dollar-weighted return; Parity; Convergence; Financial openness

JEL Classification: F30; F65; G31; G32

Suggested Citation

Sun, Lingxia and Lee, Dong Wook, Dollar-Weighted Return on Aggregate Corporate Sector: How is it Distributed Across Countries? (September 7, 2018). 31st Australasian Finance and Banking Conference 2018, Available at SSRN: or

Lingxia Sun

Sun Yat-sen University (SYSU) - ISBF ( email )

Tangjiawan, Zhuhai Campus
Zhuhai, Guangdong 519082

Nankai University - Business School ( email )

94 Weijin Road, Nankai District
Tianjin, 300071

Korea University Business School (KUBS) ( email )

Anam-Dong, Seongbuk-Gu
Seoul 136-701, 136701

Dong Wook Lee (Contact Author)

Korea University ( email )

1 Anam-dong 5 ka
Seoul, 136-701
Korea, Republic of (South Korea)
+82.2.3290.2820 (Phone)
+82.2.3290.1307 (Fax)

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