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Home Bias in Emerging Bond and Stock Markets

机译：新兴债券和股票市场的房屋偏向

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摘要

In this paper, we empirically examine sizes and sources of home bias in both bond and equity markets for twenty emerging countries and twenty-two developed countries over the 2001-11 sample period. The average size of home bias in both bond and stock markets is found to be much larger in emerging countries than in developed countries. Using the explanatory variables in two categories of economic development and market performance, we employ dynamic panel data regression models to analyze major sources of home bias. The main results are the following: First, market performance factors generally affect home bias more strongly than do economic development factors. Second, market factors including market return, volatility, and liquidity support various hypotheses under informational asymmetries, such as return chasing, risk aversion, and flight to quality. Third, among macroeconomic factors, it is shown that real gross domestic product growth has negative effects and country leverage has positive effects on a specific home bias, backing up the size-bias and the flight-to-quality hypotheses, respectively. Finally, and perhaps most important in this paper, the effect of bond market performance on equity home bias is found to be significantly stronger than the effect of equity market performance on bond home bias from the market interaction model estimation, suggesting that a policy design needs to begin with increasing bond market efficiency to reduce equity market home bias.
机译：在本文中，我们以实证检验了2001-11样本期间20个新兴国家和22个发达国家在债券和股票市场中本国偏见的规模和来源。发现在新兴市场国家，债券市场和股票市场中本国偏见的平均规模要比发达国家大得多。使用经济发展和市场表现两类中的解释变量，我们采用动态面板数据回归模型来分析家庭偏见的主要来源。主要结果如下：首先，市场表现因素通常比经济发展因素对本国偏好的影响更大。其次，市场因素，包括市场回报率，波动性和流动性，在信息不对称下支持各种假设，例如追逐收益，规避风险和逃避质量。第三，在宏观经济因素中，表明实际国内生产总值增长对特定的国内偏见具有负面影响，而国家杠杆对特定的国内偏见具有积极影响，分别支持规模偏见和对质量的假说。最后，也许是本文中最重要的一点，根据市场互动模型估计，发现债券市场绩效对股本偏向的影响明显强于股票市场绩效对股本偏向的影响，这表明政策设计需要首先要提高债券市场的效率，以减少股票市场的偏向。

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