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.

中文翻译：

---

全球化与资产回报

我们对过去35年中经济和金融全球化对资产收益联动的影响进行了全面分析。我们的全球化指标在因监管环境变化而产生的法律开放性与事实上或已实现的开放性之间，以及对不同资产类别的资本市场限制之间，存在区别。尽管对于我们大多数样本来说，全球化趋势都是积极的，但全球金融危机及其后果带来了新的阻力。股票，债券和外汇收益通常对全球化有不同的反应。通常，我们发现联动措施对全球化有反应的证据不充分，并且常常发现其他经济因素是同等或更重要的决定因素。