Australia's equity home bias and real exchange rate volatility

Paper

Mishra, Anil V.. 2008. "Australia's equity home bias and real exchange rate volatility." 16th Annual Conference on Pacific Basin Finance, Economics, Accounting and Management (PBFEAM 2008). Brisbane, Australia 02 - 04 Jul 2008 Brisbane, Australia.
Paper/Presentation Title

Australia's equity home bias and real exchange rate volatility

Presentation TypePaper
Authors
AuthorMishra, Anil V.
Journal or Proceedings TitleProceedings of the 16th Annual Conference on Pacific Basin Finance, Economics, Accounting and Management (PBFEAM 2008)
Number of Pages36
Year2008
Place of PublicationBrisbane, Australia
Web Address (URL) of Paperhttp://www.pbfeam2008.bus.qut.edu.au
Conference/Event16th 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.

Keywordscoordinated portfolio investment survey; float home bias; real exchange rate volatility; generalised method of moments
ANZSRC Field of Research 2020380107. Financial economics
Public Notes

File reproduced in accordance with the copyright policy of the publisher/author.

Byline AffiliationsSchool of Accounting, Economics and Finance
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