Mishra, Anil V. (2008) Australia's equity home bias and real exchange rate volatility. In: 16th Annual Conference on Pacific Basin Finance, Economics, Accounting and Management (PBFEAM 2008), 2-4 July 2008, Brisbane, Australia.
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Official URL: http://www.pbfeam2008.bus.qut.edu.au
[Abstract]: This paper examines the impact of real exchange rate volatility on Australia’s equity home bias by employing, International Monetary Fund’s high quality dataset (2001 to 2006) on cross border equity investment. The paper finds some interesting trends in Australia’s equity home bias. The paper uses different control measures and also conducts generalised method of moments robustness tests, to examine the role of real exchange rate volatility in Australia’s equity home bias. The paper finds that real exchange rate volatility is a potential driver of Australia’s equity home bias.
|Item Type:||Conference or Workshop Item (Commonwealth Reporting Category E) (Paper)|
|Additional Information:||Authors retain copyright.|
|Uncontrolled Keywords:||coordinated portfolio investment survey; float home bias; real exchange rate volatility; generalised method of moments|
|Fields of Research (FOR2008):||14 Economics > 1402 Applied Economics > 140207 Financial Economics|
|Subjects:||340000 Economics > 340200 Applied Economics > 340203 Finance Economics|
|Socio-Economic Objective (SEO2008):||UNSPECIFIED|
|Deposited On:||14 Jul 2008 13:09|
|Last Modified:||11 Feb 2010 14:30|
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