Equity home bias—A global perspective from the shrunk frontier
dc.contributor.author | Mukherjee, Raja | |
dc.contributor.author | Paul, Satya | |
dc.contributor.author | Shankar, Sriram | |
dc.date.accessioned | 2018-01-16T05:39:26Z | |
dc.date.issued | 2018 | |
dc.description.abstract | Equity home bias research explicates the need for correct characterisation of benchmark (optimum) foreign equity investment weights required for the estimation of equity home bias. This paper improves upon the traditional mean–variance optimisation framework by utilising the Bayes–Stein shrinkage technique to obtain optimal equity weights and home bias estimates for 39 countries for the period, 2000–2009. A regression model estimated with system GMM identifies financial integration, trade openness (exposure), stock market capitalisation, idiosyncratic risk and Global Financial Crisis (GFC) as the significant determinants of equity home bias. Unlike earlier studies, the relationship between home bias and financial integration is found to be U-shaped. | en_AU |
dc.format.mimetype | application/pdf | en_AU |
dc.identifier.issn | 0313-5926 | en_AU |
dc.identifier.uri | http://hdl.handle.net/1885/139366 | |
dc.provenance | http://www.sherpa.ac.uk/romeo/issn/0313-5926/..."Author's post-print on open access repository after an embargo period of between 12 months and 48 months" from SHERPA/RoMEO site (as at 16/01/18) | |
dc.publisher | Elsevier | en_AU |
dc.rights | © 2017 Economic Society of Australia, Queensland. | en_AU |
dc.source | Economic Analysis and Policy | en_AU |
dc.subject | Equity home bias | en_AU |
dc.subject | Equity investment | en_AU |
dc.subject | Optimal investment weights | en_AU |
dc.subject | Bayes–Stein shrinkage | en_AU |
dc.subject | GMM estimation | en_AU |
dc.title | Equity home bias—A global perspective from the shrunk frontier | en_AU |
dc.type | Journal article | en_AU |
dcterms.accessRights | Open Access | en_AU |
local.bibliographicCitation.lastpage | 21 | en_AU |
local.bibliographicCitation.startpage | 9 | en_AU |
local.contributor.affiliation | Shankar, S., The Australian National University | en_AU |
local.contributor.authoremail | Sriram.shankar@anu.edu.au | en_AU |
local.contributor.authoruid | u1011384 | en_AU |
local.identifier.ariespublication | u4485658xPUB2210 | |
local.identifier.citationvolume | 57 | en_AU |
local.identifier.doi | 10.1016/j.eap.2017.10.003 | en_AU |
local.identifier.uidSubmittedBy | u1005913 | en_AU |
local.publisher.url | https://www.elsevier.com/ | en_AU |
local.type.status | Accepted Version | en_AU |
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