Determinants of foreign and domestic investment bias in global bond markets: Some empirical evidence

Donghyun Park, Kiyoshi Taniguchi and Shu Tian

The North American Journal of Economics and Finance, 2019, vol. 49, issue C, 287-303

Abstract: In this paper, we define foreign (domestic) bias as the deviation of foreign (domestic) investors’ actual portfolio allocation in a bond market from the same bond market’s weight in global bond market. We investigate the determinants of foreign and domestic investment bias in 41 global bond markets. Our evidence indicates that foreign investors significantly overweigh markets that offer better risk-return profiles. Such return driven behavior of foreign investors is especially pronounced in emerging bond markets. Foreign investors are also found to avoid volatility in highly controlled bond markets. Our evidence sheds some light on the importance of improving investor profile in emerging markets.

Keywords: Bond market; Portfolio decisions; Investor base; Home bias; Foreign bias (search for similar items in EconPapers)
JEL-codes: F30 G11 G15 G20 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940818304364
Full text for ScienceDirect subscribers only

Related works:
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:eee:ecofin:v:49:y:2019:i:c:p:287-303

DOI: 10.1016/j.najef.2019.04.012

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().