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We conduct a comprehensive examination of the evolution of global financial integration from the classical Gold Standard era to the 21st century, with a special focus on Japan as a case study. This allows us to compare Japan's role with that of other advanced countries in the ongoing process of global financial integration initiated during the first era of financial globalization. Unlike previous literature that has mainly focused on a single asset class, we examine financial integration using data on equity, bonds, and housing. To achieve our objective, we compute a set of financial integration indices that allow us to describe the dynamics of financial integration over time and identify vulnerable and systemic countries in the integration process. Hence, our approach enables us to elucidate Japan's role in comparison to key players in the integration process. First, regarding the global financial integration, our results show a higher and more volatile level of integration for stocks and bonds, respectively, compared to housing returns. However, there are notable differences in the dynamics of stocks and bonds integration level. Stock integration exhibits a swoosh-shaped pattern, while bond integration follows a J shaped pattern or L-inverted shaped pattern. In contrast, housing returns exhibits a consistently low and stable level of integration. Second, results at the country level show a high heterogeneity across countries, asset classes, and time periods. Japan provides a particularly interesting case study, exhibiting the most isolated stock and bond markets. However, during the second era of financial globalization, Japan's integration with European economies increased significantly.
