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The Determinants of International Portfolio Holdings and Home Bias

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  • Shujing Li
  • Hamid Faruqee
  • Isabel K. Yan

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.

Suggested Citation

  • Shujing Li & Hamid Faruqee & Isabel K. Yan, 2004. "The Determinants of International Portfolio Holdings and Home Bias," IMF Working Papers 04/34, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:04/34
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    References listed on IDEAS

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