Australia's equity home bias

Article

Mishra, Anil V.. 2008. "Australia's equity home bias." Australian Economic Papers. 47 (1), pp. 53-73. https://doi.org/10.1111/j.1467-8454.2008.00329.x
Article Title

Australia's equity home bias

ERA Journal ID18189
Article CategoryArticle
Authors
AuthorMishra, Anil V.
Journal TitleAustralian Economic Papers
Journal Citation47 (1), pp. 53-73
Number of Pages21
Year2008
Place of PublicationAdelaide, Australia
ISSN0004-900X
1467-8454
Digital Object Identifier (DOI)https://doi.org/10.1111/j.1467-8454.2008.00329.x
Web Address (URL)http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-8454.2008.00329.x
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.

Keywordscoordinated portfolio investment survey; float; instrumental variables
ANZSRC Field of Research 2020350208. Investment and risk management
380110. International economics
380107. Financial economics
Public Notes

Deposited in accordance with the copyright policy of the publisher. The definitive version is available at the URL above at www.blackwell-synergy.com

Byline AffiliationsSchool of Accounting, Economics and Finance
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