الگوهای سرمایه گذاری بین المللی: شواهد با استفاده از یک مجموعه داده جدید

This paper examines the bilateral, source and host factors driving portfolio equity investment across a set of countries using International Monetary Fund's new dataset on international equity holdings at the end of 1997, 2001 and 2002. The paper finds that the bilateral equity investment is strongly correlated with the underlying patterns of trade in goods and services. The information asymmetries and cultural-institutional proximity are important for bilateral equity investment. The size of domestic stock market is the key correlate of aggregate foreign portfolio equity asset and liability holdings. The scale of aggregate foreign equity asset holdings is larger for countries having high income per capita.

International parity relations suggest that in a fully-integrated global economy without frictions in product or asset markets, the investors should hold identical portfolios, regardless of nationality. However, it is observed that, in the international equity investment patterns, there is a strong bilateral variation in portfolio allocations. The study of asymmetries in the portfolio allocations raises several questions. For instance, which bilateral factors are responsible for explaining the overall size of countries’ portfolio investment holdings? Are cultural, informational factors important in explaining the asymmetries in portfolio allocations? How do financial frictions in markets affect the structure of international portfolio allocations? What is the connection between domestic and international financial development? The answers to these questions are important to several fields in economics including international macroeconomics and international finance, portfolio analysis, behavioural finance, etc. This paper focuses on identifying the bilateral factors that explain the asymmetries in portfolio allocations.

Research in this paper analyses the bilateral, source and host factors driving portfolio equity investment across countries using the International Monetary Fund's new dataset on international equity holdings at the end of 1997, 2001 and 2002. Research in this paper illustrates a model that links bilateral equity holdings to bilateral trade in goods and services. The most significant result is that the bilateral equity investment is strongly correlated with the underlying patterns of trade in goods. This result supports the findings of Aviat and Coeurdacier (2004) and Lane and Milesi-Ferreti (2004). The information asymmetries and cultural-institutional proximity, such as a common language and a common legal origin are also important for bilateral equity investment. These results are in accordance with those of Portes and Rey (2005) and Lane and Milesi-Ferreti (2004). Generally, the bilateral equity investments take place between countries with similar characteristics, including coordinated business cycles and correlated stock market returns, against the predictions of standard diversification arguments. Results also indicate low diversification motives for Australian investors, in accordance to Mishra and Daly (2006).