Vo, Xuan Vinh (2008): The determinants of home bias puzzle in equity portfolio investment in Australia.
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Over the past decades, there is an increased trend in the international financial integration as countries are removing and relaxing controls on cross-border investment. Capital can flow easily to the destination that offers higher returns as the results of decreasing obstacles to international investment. However, despite well documented gains from international diversification, investors continue to have a strong preference for domestic assets. This paper characterizes the salient nature of the composition of the Australian equity portfolio investment. In addition, the paper investigates the determinants of the Australian investors’ home bias in equity portfolio investment. Employing the disaggregated data for the holding of Australian investors abroad from the Coordinated Portfolio Investment Survey (CPIS) conducted by IMF for the year 1997, 2001, 2002, 2003, 2004 and 2005, we provide an insight into the causes of the home bias puzzle by empirically analysing the role of explicit barriers to international investment (capital controls and transaction costs) and implicit barriers (governance and information asymmetries).
|Item Type:||MPRA Paper|
|Original Title:||The determinants of home bias puzzle in equity portfolio investment in Australia|
|English Title:||The determinants of home bias puzzle in equity portfolio investment in Australia|
|Keywords:||home bias; portfolio equity investment; transaction costs; volatility; liquidity|
|Subjects:||F - International Economics > F1 - Trade > F15 - Economic Integration
E - Macroeconomics and Monetary Economics > E2 - Macroeconomics: Consumption, Saving, Production, Employment, and Investment > E22 - Capital; Investment; Capacity
E - Macroeconomics and Monetary Economics > E0 - General > E00 - General
F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics
|Depositing User:||Xuan Vinh Vo|
|Date Deposited:||25. Nov 2010 04:13|
|Last Modified:||12. Feb 2013 17:00|
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