The Determinants of International Portfolio Holdings and Home Bias

Shujing Li · Hamid Faruqee · Isabel K. Yan

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Abstract

Despite the liberalization of foreign portfolio investment around the globe since the early 1980s, the home-bias phenomenon is still found to exist. Using a relatively new IMF survey dataset of cross-border equity holdings, this paper tests new structural equations from a consumption-based asset-pricing model on international portfolio holdings. Using of stock data allows us to provide new and clear-cut evidence on the determinants of international portfolio holdings.

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References

1979A Theoretical Foundation for the Gravity Equation.1991Investor Diversification and International Equity Markets 2000The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?1997Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan 1999Trying to Explain Home Bias in Equities and Consumption 2001What Makes Investors Trade?1997International Portfolio Investment Flows 1995Home bias and high turnover

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2013Financial Integration in East Asia: An Empirical Investigation 2008AUSTRALIA'S EQUITY HOME BIAS 2007Globalisation and the Macroeconomic Policy Environment 2006The Geography of International Portfolio Flows, International CAPM and the Role of Monetary Policy Frameworks 2010Gravity in International Finance 2014Home Bias in Emerging Bond and Stock Markets

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