The Determinants of Home Bias in Stock Portfolio: An Emerging and Developed Markets Study

Mounira Chniguir, Mohamed Karim Kefi and Jamel Henchiri
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Mounira Chniguir: Doctorante, RED-ISGG rue Jilani Lahbib 6000 Gab s, Tunisia,
Mohamed Karim Kefi: Enseignant-Chercheur, RED-ISGG, CERI Paris, France

International Journal of Economics and Financial Issues, 2017, vol. 7, issue 6, 182-191

Abstract: The objective of this paper is to measure the degree of Home Bias within holdings portfolio and to identify their determining factors. By following literature and an international CAPM, we have chosen quite a number of susceptible factors that impact Home Bias. This model is, hence, estimated for 20 countries, with cross-section econometrics, between 2008 and 2013. Our results show that all countries have recorded a high level of Home bias in their holdings portfolio. After that, we test if the Home Bias of the emerging markets and that of the developed markets react differently to the determining factors. The volatility of the exchange rate is statistically significant with emerging markets, while it is hardly remarkable for the developed countries. Co-variance, size, distance, language, legal framework and foreign organization stocks prevents American investors to invest abroad.

Keywords: International portfolio; Home Bias; exchange rate; emerging market; CAPM (search for similar items in EconPapers)
JEL-codes: F31 G11 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: The Determinants of Home Bias in Stock Portfolio: An Emerging and Developed Markets Study (2018)
Working Paper: The Determinants of Home Bias in Stock Portfolio: An Emerging and Developed Markets Study (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2017-06-23

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