The Determinants of International Portfolio Holdings and Home Bias

Shujing Li, Hamid Faruqee and Isabel Yan

No 2004/034, IMF Working Papers from International Monetary Fund

Abstract: Despite the liberalization of foreign portfolio investment around the globe since the early 1980s, the home-bias phenomenon is still found to exist. Using a relatively new IMF survey dataset of cross-border equity holdings, this paper tests new structural equations from a consumption-based asset-pricing model on international portfolio holdings. Using of stock data allows us to provide new and clear-cut evidence on the determinants of international portfolio holdings.

Keywords: WP; information asymmetry; market portfolio (search for similar items in EconPapers)
Pages: 25
Date: 2004-02-01
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Citations: View citations in EconPapers (71)

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