Australia's equity home bias and real exchange rate volatility
Paper
Paper/Presentation Title | Australia's equity home bias and real exchange rate volatility |
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Presentation Type | Paper |
Authors | |
Author | Mishra, Anil V. |
Journal or Proceedings Title | Proceedings of the 16th Annual Conference on Pacific Basin Finance, Economics, Accounting and Management (PBFEAM 2008) |
Number of Pages | 36 |
Year | 2008 |
Place of Publication | Brisbane, Australia |
Web Address (URL) of Paper | http://www.pbfeam2008.bus.qut.edu.au |
Conference/Event | 16th Annual Conference on Pacific Basin Finance, Economics, Accounting and Management (PBFEAM 2008) |
Event Details | 16th Annual Conference on Pacific Basin Finance, Economics, Accounting and Management (PBFEAM 2008) Event Date 02 to end of 04 Jul 2008 Event Location Brisbane, Australia |
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. |
Keywords | coordinated portfolio investment survey; float home bias; real exchange rate volatility; generalised method of moments |
ANZSRC Field of Research 2020 | 380107. Financial economics |
Public Notes | File reproduced in accordance with the copyright policy of the publisher/author. |
Byline Affiliations | School of Accounting, Economics and Finance |
https://research.usq.edu.au/item/9yv8v/australia-s-equity-home-bias-and-real-exchange-rate-volatility
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