Australia's equity home bias and real exchange rate volatility

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.

[img]
Preview
PDF
Mishra_PBFEAM_2008.pdf

Download (286Kb)

Abstract

[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.


Statistics for USQ ePrint 4266
Statistics for this ePrint Item
Item Type: Conference or Workshop Item (Commonwealth Reporting Category E) (Paper)
Refereed: Yes
Item Status: Live Archive
Additional Information: Authors retain copyright.
Depositing User: Dr Anil Mishra
Faculty / Department / School: Historic - Faculty of Business - School of Accounting, Economics and Finance
Date Deposited: 14 Jul 2008 03:09
Last Modified: 02 Jul 2013 23:04
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
URI: http://eprints.usq.edu.au/id/eprint/4266

Actions (login required)

View Item Archive Repository Staff Only