Australia's equity home bias

Mishra, Anil V. (2008) Australia's equity home bias. Australian Economic Papers, 47 (1). pp. 53-73. ISSN 0004-900X

Abstract

This paper constructs the float adjusted measure of home bias and explores the determinants of Australia’s equity home bias by employing the International Monetary Fund’s high quality dataset (2001 to 2005) on cross border equity investment. On the empirical front, the paper conducts robustness tests by employing instrumental variables that are standard in the financial economics literature. The paper finds that the share of the number of firms listed in the domestic market and the share of internet users in the total population of the host country has a significant impact on equity home bias. Trade linkages are found to have a mixed impact on equity home bias. The paper also finds that the country’s market share of the world market capitalisation and transaction costs do not impact Australia’s equity home bias. Investors are found to exhibit low diversification motives.


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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Additional Information: Deposited in accordance with the copyright policy of the publisher. The definitive version is available at the URL above at www.blackwell-synergy.com
Depositing User: Dr Anil Mishra
Faculty / Department / School: Historic - Faculty of Business - School of Accounting, Economics and Finance
Date Deposited: 03 Jun 2008 05:50
Last Modified: 02 Jul 2013 23:02
Uncontrolled Keywords: coordinated portfolio investment survey; float; instrumental variables
Fields of Research (FOR2008): 15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management
14 Economics > 1402 Applied Economics > 140210 International Economics and International Finance
14 Economics > 1402 Applied Economics > 140207 Financial Economics
Socio-Economic Objective (SEO2008): B Economic Development > 91 Economic Framework > 9101 Macroeconomics > 910109 Savings and Investments
Identification Number or DOI: doi: 10.1111/j.1467-8454.2008.00329.x
URI: http://eprints.usq.edu.au/id/eprint/4129

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