Thesis (M.B.A.)--Boston University / PLEASE NOTE: Boston University Libraries did not receive an Authorization To Manage form for this thesis or dissertation. It is therefore not openly accessible, though it may be available by request. If you are the author or principal advisor of this work and would like to request open access for it, please contact us at open-help@bu.edu. Thank you. / 2031-01-01

Financial integration is often perceived to lead to convergence of asset prices, as well as higher comovements across countries, with the idea that the dependence on world factors should increase as markets integrate. This dissertation focuses on analyzing how integration has changed over time in developed and, especially, emerging markets. In particular, the chapters tackle different aspects of how integration has changed over time and the relevance of particular global factors in pricing. In Chapter 1, I study the link between globalization and asset returns. Here, I provide a comprehensive analysis of the impact of economic and financial globalization on asset return comovements over the past 35 years. The 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 the sample, the global financial crisis and its aftermath have provided new headwinds. Equity, bond, and foreign exchange returns often have different responses to globalization. I generally find weak evidence of comovement measures reacting to globalization and often find other economic factors to be equally or more important determinants. In Chapter 2, I analyze variance risk in global markets. Innovations in volatility constitute a potentially important asset pricing risk factor that can be easily tested through the return on variance swaps. I characterize the exposure of the returns on three asset classes (equities, bonds and currencies) in all regions of the world to United States based equity variance risk. I explore the implications for global risk premiums and asset return comovements using both developed and emerging markets. I first find that regional portfolios across all three asset classes and practically all countries exhibit negative loadings with respect to the variance risk factor. This exposure is not only statistically but also economically significant representing for most assets we consider around 50% of the global risk premiums implied by a simple three-factor model with global equity, bond, and variance risks. Second, this simple three-factor model also explains a substantive fraction of the comovements between international assets, but the fit is best for international equity correlations and is worse for currency returns and across asset correlations. In Chapter 3, I study the link between time-varying integration and asset pricing. Emerging markets are subject to constant integration shocks, which can make markets more integrated or more segmented. Changes in integration have dynamic effects that are difficult to accommodate in valuation models, as both time-varying betas and risk premium are needed to capture the direct and indirect effects of changes in integration on dividend yields. Here, I develop a novel present value model to value cash flows with time-varying expected returns, where integration affects the cost of capital in a time-varying fashion. This framework prices expectations about future integration, which is modeled as a mean reverting process. I calibrate the model using a segmentation shock in Argentina in 2011 as a case study, and find that the model is able to capture part of the increase in dividend yields as markets became more segmented. By assuming that investors perceive the shock as permanent and thus price lower mean integration following the segmentation shock, I am able to model the full extent of the change in dividends. The three chapters show that, while integration has broadly increased over time, different asset classes have different responses to globalization. I find that integration is time-varying and that markets can become more segmented; that is, integration is not a one-way street, as many models have assumed in the past. Finally, I show that global factors matter in emerging markets in all asset classes, and identify variance risk as a new risk factor which helps explain why global capital asset pricing models tend to yield low discount rates in these economies. Therefore, researchers and practitioners should take into account the importance of both local and global factors when valuing emerging market assets and take into account that the relative importance of each factor varies over time.

Thesis (Ph. D.)--Ohio State University, 1974. / Includes bibliographical references (leaves 181-185). Available online via OhioLINK's ETD Center.

Thesis (Ph. D.)--University of Texas at Austin, 2006. / Vita. Includes bibliographical references.

Thesis (M. Journ.)--University of Hong Kong, 2002. / Includes bibliographical references (leaves 33-37).

No description available.

This thesis is an examination of the forces behind the increasing levels of intra-regional economic integration in East Asia. Economic integration in Europe, and to a lesser extent in North America, was preceded by an adaptation of political agreements and institutions which, in turn, largely determined the further pattern of economic regionalisation. Economic integration in East Asia did not experience such a prerequisite settlement. East Asian economic integration, unlike economic integration in other regions around the globe, is being driven by the growing interdependence between transnational corporations (TNCs), and in many instances, small-medium sized enterprises (SMEs), strategies, and regional governments policies. / The thesis examines the process of intra-regional economic integration in East Asia from three levels of analysis: state-state, state-firm and firm-firm. The discussion seeks to go beyond the “state versus market” analysis of regional economic integration and aims to present an ‘alternative’ framework of analysis by discussing the dynamics of the growing relationship between states and firms. In order to ‘capture’ this relationship, the dissertation examines the interplay between the forces of globalisation and regionalisation. / The findings of the three case studies, together with the analysis of globalisation and regionalisation, have demonstrated the need to move beyond the state versus market dichotomy. East Asian economic integration is occurring at three levels: state-state, state-firm and firm-firm. The forces behind East Asian economic integration include cooperation and competition between states, bargaining between states and firms, and the activities of TNCs and SMEs. Changes in the global economy affect the pattern of economic integration at the regional level. Understanding how these changes impact on state policies and firm strategies is vital to analysing regional economic integration.

Thesis (Ph.D.)--Auburn University, 2006. / Abstract. Vita. Includes bibliographic references (ℓ.206-218).

Diss. Göteborg : Univ., 2003.

Inaug.-Diss.--Cologne. / Vita. Bibliography: p. 199-218.