국가간 경기 동조성과 국내 주식에 대한 편향
Equity Home Bias Puzzle: A Reappraisal with GDP (return) Correlations
0
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
본 연구는 다국 포트폴리오 일반균형 모형을 이용하여 국가간 경기 동조성—소득의 상관관계—이 자국 주식 보유 편향(equity home bias)에 미치는 영향을 분석하였다. 1995년부터 2007년까지 21개국 선진국 연간 자료를 이용하여 국내 주식 보유 편향에 미치는 다른 주요 요인들을 통제한 후, 국가간 경기 동조성의 증가가 자국의 국내 주식 보유 편향을 증가시키는 실증 발견을 하였다. 또한 제시한 3국 일반균형 모형이 이 실증결과를 뒷받침함을 확인하였다. 이는 국가간 동조성이 증가할때상대국 주식 자산에 대한 헤징(hedging) 매력이 낮아져 오히려 국내 주식 보유를 늘리는 것을 보여주며, 글로벌 요인으로 국가간 경기 동조화가 지속될 경우 각 국가의리스크 다각화 결정은 자국 주식 보유 편향으로 나타날 수 있음을 시사한다.
Abstract
This study examines the effect of return correlations between countries on a country’s equity home bias. Using data of 21 developed countries for 1995–2007 and controlling for other factors of such bias, we find that an increase in the return (GDP) correlations across countries increases the equity home bias. Our three-country general equilibrium model can successfully explain the empirical finding of a positive relationship between the return correlations and equity home bias. This suggests that higher GDP correlations can intensify such bias because domestic investors lose hedging benefits from foreign equities.
참고문헌 (25)
- 금융통합이 금융위기에 미치는 영향, "이동은", 대외경제정책연구원, ~ (2013)
- 정재식, "외국인 자본유출입 특징과 국내금융시장의 파급효과", 시장경제연구, 41(2), pp.41~74 (2012), 지암남덕우경제연구원[DOI]
- An, Jiyoun, "Does Debt Market Integration Amplify the International Transmission of Business Cycle During Financial Crisis" (2019), mimeo
- Baxter, M., "The international diversification puzzle is worse than you think", American Economic Review, 87(1), pp.170~180 (1997)
- Baele, L., "Model uncertainty, financial market integration and the home bias puzzle", Journal of International Money and Finance, 26(4), pp.606~630 (2007)
- Financial institutions and markets across countries and over time: Data and analysis, "Beck, T.", World Bank, ~, pp.Policy Research Working Paper 4943 (2009)
- Bergin, P., "International Portfolio Diversification and Multilateral Effects of Correlation", Journal of International Money and Finance, 62, pp.52~71 (2016)
- Bottazzi, L., "Wages, profits and the international portfolio puzzle", European Economic Review, 40(2), pp.219~254 (1996)
- Bretscher, L., "Human capital and international portfolio diversification: A reappraisal", Journal of International Economics, 99, pp.S78~S96 (2016)
- Coeurdacier, N., "Do trade costs in goods markets lead to home bias in equities?", Journal of International Economics, 77(1), pp.86~100 (2009)
- Coeurdacier, N., "International portfolios, capital accumulation and foreign assets dynamics", Journal of International Economics, 80(1), pp.100~112 (2010)
- Dedola, L., "Home bias and portfolio dynamics in a multi-country model" (2011), mimeo
- Devereux, M. B., "Country Portfolios in Open Economy Macro Models", Journal of the European Economic Association, 9, pp.337~369 (2011)
- Heathcote, J., "The international diversification puzzle is not as bad as you think", Journal of Political Economy, 121(6), pp.1108~1159 (2013)
- Kalemli-Ozcan, S., "Global banks and crisis transmission", Journal of International Economics, 89, pp.495~510 (2013)
- Lane, P., "The external wealth of nations mark II : Revised and extended estimates of foreign assets and liabilities, 1970-2004", Journal of International Economics, 73(2), pp.223~250 (2006)
- Lane, P., "The drivers of financial globalization", American Economic Review, 98, pp.327~332 (2008)
- Okawa, Y., "Gravity in International Finance", Journal of International Economics, 87, pp.205~215 (2012)
- Pavlova, A., "Asset prices and exchange rates", The Review of Financial Studies, 20(4), pp.1139~1180 (2007)
- Pyun, J. H., "Trade Cost, Real Exchange Rate Fluctuation and Equity Home Bias in a Multi-country Model", Review of International Economics, 26(2), pp.357~377 (2018)
- Pyun, J. H., "Capital and credit market integration and real economic contagion during the global financial crisis", Journal of International Money and Finance, 67, pp.172~193 (2016)
- Sercu, P., "Home bias in international equity portfolios: a review", DTEW-AFI_0710, 1~37 (2007)
- Sørensen, B. E., "Home bias and international risk sharing : Twin puzzles separated at birth", Journal of International Money and Finance, 26(4), pp.587~605 (2007)
- Tille, C., "International Capital Flows", Journal of International Economics, 80, pp.157~175 (2010)
- van Nieuwerburgh, S., "Information immobility and the home bias puzzle", Journal of Finance, 64(3), pp.1187~1215 (2009)