국부펀드의 해외투자편향과 공간적 파급효과
Sovereign Wealth Fund, Foreign Bias and Spatial Spillover Effects
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본 연구는 세계 금융위기인 2008년부터 2014년까지 주요 국부펀드 투자국들이 6개 투자대상국(호주, 캐나다, 중국, 독일, 영국, 미국)에 행한 315건의 해외투자 자료를 사용하여 국부펀드의해외투자편향(foreign bias) 결정요인과 해외투자편향의 공간적 파급효과를 추정하였다. 공간적 파급효과는 공간적으로 가까운 국가의 해외투자결정이 자국의 투자결정에 미치는 파급효과이다. 이를 위해 국부펀드의 해외투자편향(foreign bias)모형을 이론적으로 도출하였고, 공간적 파급효과를 추정하기 위해서 투자대상국별 문화적 요인을 사용하여 공간(가중)매트릭스(spatial weight matrix)를 설정하였다. 추정결과에서 수익률과 위험은 국부펀드의 해외투자편향에 중요한 결정요인이며, 수익률의 경우 문화가 유사한 투자국 간에 공간적 파급효과를가지고 있는 것으로 나타났다. 하지만 위험의 경우 영국을 제외하고 공간적 파급효과가 크지않았다.
Abstract
This study derives a model of foreign bias to examine the determinants of cross-border investment of sovereign wealth fund. Based on the model of foreign bias, we analyze the spatial spillover effects of cultural and geometric distances on the degree of foreign bias of sovereign wealth fund. We build the spatial weight matrix, which is specific to the foreign countries invested by sovereign wealth fund, for the spatial panel analysis. Using 315 cases from the panel data of foreign investment by sovereign wealth fund during the year 2008~2014, we empirically examine (1) whether the relationship between return, risk and foreign bias of sovereign wealth fund are statistically significant, and (2) whether this relationship depends on the spatial spillover effects of cultural and geometric distances. The evidence strongly supports our hypotheses across 6 different foreign investment countries (Australia, Canada, China, Germany, the United Kingdom, the United States).
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