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

Mounira Chniguir, Mohamed Kefi and Jamel Henchiri
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Mohamed Kefi: INAT - Institut National Agronomique de Tunisie

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Abstract: The objective of this paper is to measure the degree of home bias (HB) within holdings portfolio and to identify their determining factors. By following literature and an international capital asset pricing model, we have chosen quite a number of susceptible factors that impact HB. 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 HB in their holdings portfolio. After that, we test if the HB 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; G11; Exchange Rate; Emerging Market; Capital Asset Pricing Model JEL Classifications: F31 (search for similar items in EconPapers)
Date: 2017
Note: View the original document on HAL open archive server: https://hal.science/hal-01739418v1
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Citations: View citations in EconPapers (1)

Published in International Journal of Economics and Financial Issues, 2017, 7, pp.182 - 191

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Related works:
Working Paper: The Determinants of Home Bias in Stock Portfolio: An Emerging and Developed Markets Study (2018)
Journal Article: 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:hal:journl:hal-01739418

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