Institutional Determinants of International Equity Portfolios - A Country-Level Analysis
Barbara Berkel
The B.E. Journal of Macroeconomics, 2007, vol. 7, issue 1, 33
Abstract:
Despite large potential gains, international equity investment is less diversified across countries than predicted by the international version of the traditional capital asset pricing model (ICAPM). This paper provides empirical evidence on the impact of capital market frictions on international equity portfolios using data on bilateral equity holdings. Two important findings are reported: First, besides a home bias in equities, a 'friendship bias' can be observed for some country pairs. Second, indirect barriers such as the degree of financial market development and especially information asymmetries have strong explanatory power, whereas direct barriers such as capital flow restrictions have no impact.
Keywords: international portfolio diversification; capital market frictions; financial market development; information asymmetries; ICAPM; bilateral equity holdings (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)
Downloads: (external link)
https://doi.org/10.2202/1935-1690.1388 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.
Related works:
Working Paper: Institutional Determinants of International Equity Portfolios - A Country-Level Analysis (2004) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:bpj:bejmac:v:7:y:2007:i:1:n:34
Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/bejm/html
DOI: 10.2202/1935-1690.1388
Access Statistics for this article
The B.E. Journal of Macroeconomics is currently edited by Arpad Abraham and Tiago Cavalcanti
More articles in The B.E. Journal of Macroeconomics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().