본문 바로가기
KERD
논문KCI 등재

한국 거주자 주식투자의 자국편의(Home bias) 현상분석

Analysis of Home Bias on Stock Investment by Korean Residents

최경욱|양대정
한국국제경제학회 (The Korea International Economic Association)|2020.03|국제경제연구 (KUKJE KYUNGJE YONGU)|제26권 제1호|pp. 29-53|DOI 10.17298/kky.2020.26.1.002

0

조회

0

다운로드

0

인용

0

참고문헌

키워드

환율자국편의거주자 해외주식 투자외환스왑레이트환차익외환스왑거래 이익환위험 오픈환위험 헤징Home BiasOverseas Stock Investment by ResidentsFX Spot RateFX Swap RateFX Spot GainFX Swap GainFX Risk OpenFX Risk Hedging
주제분류경제학

초록

본고는 2000년 이후 한국 거주자의 해외주식 투자가 빠르게 증가하면서 자국편의 수준이 지속적으로 완화되는 현상을 분석하였다. 2001∼2017년 중 데이터를 기준으로 한국에 거주하는 주식투자자의 자국편의 결정요인 분석을 통해 살펴본 결과 해외주식 투자관련 거래비용 축소, 투자대상국의 제도적 여건개선 및 정보 비대칭 완화, 그리고 소득축적에 따른 투자여력 확대 등의 요인과 함께 외환매매 관련 환차익(환위험 오픈 거래의 경우)과 외환스왑거래 관련 외환스왑 거래이익(환위험 헤징 거래의 경우) 추구도 중요한 요인인 것으로 분석되었다. 한편 한국에 거주하는 주식투자자의 자국편의 수준은 주요국과 비교하여 상대적으로 높았는데, 이는 분석대상 기간 중 한국의 경제성장률이 상대적으로 높아 주식시장 규모의 성장세가 주요국에 비해 빠른 가운데 주가수익률도 높아 거주자의 해외주식 투자유인이 그리 높지 않았던 데 주로 기인한 것으로 보인다.

Abstract

This paper analyzes the phenomenon that the home bias is steadily declining due to the increase of overseas stock investment by Korean residents since 2000. According to the empirical analysis from 2001 to 2017, the FX spot and swap trading related gains are the important factors for declining the home bias on stock investment by Korean residents, along with the reduction of transaction cost involved overseas investment, the improvement of institutional conditions of target countries, the reduction of information asymmetry, and the expansion of investment capacity. Meanwhile, the home bias on stock investment by Korean residents was relatively higher than that of major countries. This was mainly due to the relatively high economic growth rate of Korea during the analysis period, which led to a relatively rapid expansion of the Korean stock market, and the return was also higher than that of major countries.

참고문헌 (47)

  1. 김병준, "신흥 채권시장에서의 자국편의 결정요인 분석", 재무관리연구, 27(4), pp.111~152 (2010), 한국재무관리학회
  2. 글로벌 해외포트폴리오투자 현황 및 결정요인에 관한 연구, "김한수", 자본시장연구원, ~, pp.연구보고서 17-18 (2017)
  3. 박대근, "고령화와 국제 자본이동", 국제경제연구, 15(1), pp.29~53 (2009), 한국국제경제학회[DOI]
  4. 인구구조변화에 따른 국내 및 해외 포트폴리오 투자행태 변화 및 시사점, "박성욱", KIF, ~, pp.KIF 연구보고서 2013권 4호 (2013)
  5. 양대정, "외국인 증권투자자금 유출입의 원", 달러환율 영향력 분석, 2019, pp.45(3), 41~81[DOI]
  6. Ahearne, A., "Information Costs and Home Bias : An Analysis of US Holdings of Foreign Equities", Journal of International Economics, 62, pp.313~336 (2004)
  7. Arellano, M., "Some Tests of Specification for Panel Data : Monte Carlo Evidence and an Application to Employment Equations", Review of Economic Studies, 58(2), pp.277~297 (1991)
  8. Baele, L., "Model uncertainty, Financial market integration, and the Home bias puzzle", Journal of International Money and Finance, 26, pp.606~630 (2007)
  9. Bekaert, G., "Home bias revisited", ~ (2009)
  10. Berkel, B., "Institutional Determinants of International Equity Portfolios -A Country-Level Analysis" (2004), Mannheim Research Institute for Economics of Aging, University of Mannheim
  11. Blundell, R, "Initial conditions and moment restrictions in dynamic panel data models", Journal of Econometrics, 87(1), pp.115~143 (1998)
  12. GMM Estimation of Empirical Growth Models, "Bond, S.", Economics Papers from Economics Group, Nuffield College, University of Oxford, ~, pp.No 2001-W21 (2001)
  13. Asian financial integration : Trends and interruptions, "Borensztein, E.", International Monetary Fund, ~, pp.International Monetary Fund Working Paper, WP (2011), 11[DOI]
  14. Foreign participation in local-currency bond markets, "Burger, J.", Board of Governors of the Federal Reserve System, ~, pp.Board of Governors International Finance Discussion Paper No. 794 (2004)
  15. Cameron, A. C., "Microeconometrics Using Stata", pp.381~395 (2010), Revised Edition
  16. Chan, K., "What determines the domestic bias and foreign bias? Evidence from mutual fund equity allocations worldwide", Journal of Finance, 60(3), pp.1495~1534 (2005)
  17. Chniguir1, M., "The Determinants of Home Bias in Stock Portfolio: An Emerging and Developed Markets Study", International Journal of Economics and Financial Issues (2017)
  18. Cooper, I., "Recent development in Finance" (1986), Cambridge University Press
  19. Coval, J. D., "Home Bias at Home : Local Equity Preference in Domestic Portfolios", The Journal of Finance, 54(6), pp.2045~2073 (1999)
  20. Fidora, M., "Home bias in global bond and equity markets : The role of real exchange rate volatility", Journal of International Monetary and Finance, 26, pp.631~655 (2007)
  21. French, K. R., "Investor diversification and international equity markets", The American Economic Review, 81(2), pp.222~226 (1991)
  22. International Diversification Gains and Home Bias in Banking, "García-Herrero, A.", International Monetary Fund, ~, pp.IMF Working Paper 07 (2007), 281
  23. Gelos, G., "Transparency and international portfolio holdings", Journal of Finance, 60(6), pp.2987~3020 (2005)
  24. Keeping up with the Joneses: An international asset pricing mo, "Gómez, J.", Universitat Pompeu Fabra, ~, pp.Universitat Pompeu Fabra Economics and Business Working Paper No. 694 (2003)
  25. Grubel, H. G., "Internationally diversified portfolios welfare and capital flows", American Economic Review, 58(5), pp.1299~1314 (1968)
  26. Portfolio holdings in the Euro Area-Home bias and the role of international, "Jochem, A", ~, pp.Deutsche Bundesbank Discussion Paper Series No. 07 (2011), 20
  27. Aggregating Governance Indicators, "Kaufmann, D.", ~, pp.Policy Research Working Paper 2195 (1999)
  28. Kim, B. J., "Home Bias in Emerging Bond and Stock Markets", Emerging Markets Finance & Trade, 50(4), pp.95~124 (2014)
  29. Lane, P. R., "The external wealth of nations : measures of foreign assets and liabilities for industrial and developing countries", Journal of International Economics, 55(2), pp.263~294 (2001)
  30. Levy, H., "International diversification of investment portfolios", American Economic Review, 60, pp.668~675 (1970)
  31. Liljeblom, E., "The benefits from international diversification for Nordic investors", Journal of Banking and Finance, 21, pp.469~490 (1997)
  32. Lian Liu, "Bond Investment Home Bias in East Asia", Korea and the World Economy, 17(1), pp.99~128 (2016), 한국경제연구학회
  33. Markowitz, H., "Portfolio selection", The Journal of Finance, 7(1), pp.77~91 (1952)
  34. Rogelio V. Mercado Jr., "Emerging Asia Equity Home Bias and Financial Integration", International Economic Journal, 27(4), pp.497~524 (2013), 한국국제경제학회
  35. Mishra, A., "Australia's Equity Home Bias", Australian Economic Papers, 47(1), pp.53~73 (2008)
  36. Equity Home Bias, Financial Integration, and Regulatory Reforms: Implications for Emerging Asia, "Park, C. Y.", Asian Development Bank, ~, pp.ADB Working Paper Series on Regional Economic Integration, No. 133 (2014)
  37. Park, D., "Determinants of foreign and domestic investment bias in global bond markets: Some empirical evidence" (2019), Economic Research and Regional Cooperation Department, Asian Development Bank
  38. Portes, R., "The determinants of cross-border equity flows", Journal of International Economics, 65(2), pp.269~296 (2005), Elsevier
  39. How to do Xtabond2: An Introduction to Difference and System GMM in Stata, "Roodman, D.", ~, pp.Center for Global Development Working Paper No. 103 (2007)
  40. Roodman, D., "How to do Xtabond2 : An introduction to difference and system GMM in Stata", Stata Journal, 9(1), pp.86~136 (2009)
  41. On the determinants of external imbalances and net international portfolio flows, "Santis, R. A. D.", ECB, ~, pp.Working Paper Series, No. 651 (2006)
  42. Solnik, B. H., "Why not diversifies internationally rather than domestically?", Financial Analysts Journal, 30, pp.48~54 (1974)
  43. Sorensen, B., "Home bias and international risk sharing : Twin puzzles separated at birth", Journal of International Money and Finance, 26, pp.587~605 (2007)
  44. Stulz, R. M., "A model of international asset pricing", Journal of Financial Economics, 9, pp.383~406 (1981)
  45. Introducing a New Broad-based Index of Financial Development, "Svirydzenka, K.", IMF, ~ (2016)
  46. Vo, X. V., "The determinants of home bias puzzle in equity portfolio investment in Australia" (2008), Vietnam Post and Telecomumincations Group
  47. Warnock, F. E., "Home bias and high turnover reconsidered", Journal of International Money and Finance, 21, pp.795~805 (2002)

관련 논문AI추천

글로벌 주식시장에서의 자국편의김병준, 주현태한국상업경영학회 · 상업경영연구2012 · 제26권 제3호국가간 경기 동조성과 국내 주식에 대한 편향편주현지암남덕우경제연구원 · 시장경제연구2020 · 제49권 제1호해외 주식형 펀드 투자에 위험분산 동기가 존재하는가?김세완, 박지원한국은행 · 경제분석2015 · 제21권 제1호거주자 해외증권투자가 스왑레이트 및 환율에 미치는 영향강태수, 김경훈지암남덕우경제연구원 · 시장경제연구2020 · 제49권 제2호한국 투자가의 관점에서 본 해외 주식투자와 환위험의 햇징장호윤한국국제경영학회 · 국제경영연구2004 · 제15권 제2호국제 분산투자에서 외국인 투자자와 현지투자자의 환위험 차이권택호, 주경원한국금융공학회 · 金融工學硏究2008 · 제7권 제4호

이 간행물의 다른 논문 (2건)

거시-재무 무재정차익 동태적 넬슨-시겔 기간구조모형을 이용한 최적 미국 국채 포트폴리오 선택강규호, 신우일, 최아진pp. 1-28인구구조 변화와 주택가격 움직임: 전국 및 광역시 비교 분석 및 예측안지희, 박철범pp. 55-80
원문 보기