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Globalization and Asset Returns
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DOI：10.1146/annurev-financial-121415-032905.png)
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Abstract
En 中文
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
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