Bond and Equity Home Bias and Foreign Bias: An International Study
Bond and Equity Home Bias and Foreign Bias: An International Study
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债券和股票本国偏见和外国偏见：一项国际研究
DOI：
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发表时间：
2013
期刊：
影响因子：
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通讯作者：
L. Moor
中科院分区：
文献类型：
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作者：
Rosanne Vanpée;L. Moor
本文基于2001年至2010年包括发达市场和新兴市场的大规模数据集，对债券和股票的本土偏好和外国偏好之间的差异进行了初步和正式的探索。我们通过将经合组织国家的债券和股票本土偏好转移与政府债券形式下日益增加的公共债务问题（即供应驱动的论点）联系起来，初步建立了阶段。与Fidora et al.（2007）不同，我们没有发现汇率波动对债券母国偏好的影响大于对股票母国偏好的影响。相反，我们发现，汇率波动对债券的外国偏见比股票的外国偏见有更大的影响。我们还表明，金融发展水平更重要的是吸引外国债券投资者比外国股票投资者和国家和公司治理的做法更重要的国际股票投资组合比国际债券投资组合。除了变量是显着更多，更少或不相容的重要性债券与股票国内和国外的偏见，我们也发现变量专门为债券显着。最重要的是，本文指出了债券的本土和外国偏见与股票的不同性质，因此，刺激进一步研究债券本土和外国偏见，尽管大量的现有文献的股票本土偏见。
In this paper we explore tentatively and formally the differences between bond and equity home bias and foreign bias based on one large scale dataset including developed and emerging markets for the period 2001 to 2010. We set the stage by tentatively and formally linking the diversion of bond and equity home bias in OECD countries to the increasing public debt issues under the form of government bonds i.e. the supply-driven argument. Unlike Fidora et al. (2007) we do not find that exchange rate volatility has a greater impact on bond home bias than on equity home bias. We find, instead, that exchange rate volatility has a greater impact on bond foreign bias than on equity foreign bias. We also show that the level of financial development is more important for attracting foreign bond investors than foreign equity investors; and country and corporate governance practices matter more for international equity portfolios than for international bond portfolios. Besides variables being significantly more, less or incompatibly important for bond versus equity home and foreign bias, we also find variables exclusively significant for bonds. Above all this paper points out the distinct nature of bond home and foreign bias versus equities and, therefore, stimulates further research on bond home and foreign bias despite the large amount of existing literature on equity home bias.