Australia's Bond Home Bias

Anil Mishra () and Umaru B. Conteh ()
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Umaru B. Conteh: School of Business, University of Western Sydney, NSW 2751, Australia

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2014, vol. 17, issue 01, 1-30

Abstract: This paper constructs the float adjusted measure of home bias and explores the determinants of bond home bias by employing the International Monetary Fund's high quality dataset (2001 to 2009) on cross-border bond investment. The paper finds that Australian investors' prefer investing in countries with higher economic development and more developed bond markets. Exchange rate volatility appears to be an impediment for cross-border bond investment. Investors prefer investing in countries with stronger quality of institutions including bureaucratic quality, government effectiveness, regulatory quality, rule of law, efficiency of judicial system, risk of contract repudiation, and rating of accounting standards.

Keywords: Coordinated portfolio investment survey; float bond home bias; quality of institutions; Arellano–Bover/Blundell–Bond; G15; G23 (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:wsi:rpbfmp:v:17:y:2014:i:01:n:s0219091514500015

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DOI: 10.1142/S0219091514500015

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