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

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Listed:
  • Mounira Chniguir

    (INAT)

  • Mohamed Kefi

    (INAT)

  • Jamel Henchiri

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.

Suggested Citation

  • Mounira Chniguir & Mohamed Kefi & Jamel Henchiri, 2018. "The Determinants of Home Bias in Stock Portfolio: An Emerging and Developed Markets Study," Papers 1804.05103, arXiv.org.
    • Handle: RePEc:arx:papers:1804.05103
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    Cited by:

    1. Dominique Baruel Bencherqui & Anne Janand & Mohamed Kefi, 2017. "Gender as a discriminating factor in employee networking and intention to develop employability through career strategies," Post-Print hal-01856609, HAL.

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    More about this item

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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