The Determinants of International Portfolio Holdings and Home Bias

ByShujing Li, Hamid Faruqee, Isabel K. Yan

February 1, 2004

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Agroindustries, Estimation techniques, Foreign assets, Stock markets, Stocks

Keywords: information asymmetry, market portfolio, WP

Pages:
25
Volume:
2004
DOI:
https://doi.org/10.5089/9781451845297.001
Issue:
034
Series:
Working Paper No. 2004/034
Stock No:
WPIEA0342004
ISBN:
9781451845297
ISSN:
1018-5941

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