时间：2016/03/21，10:00-12:00
地点：威廉希尔一楼院史馆
主讲人：Ju Hyun Pyun
主讲题目：Divergence in Equity Home Bias between Developed and Developing Economies: A Role of Financial Development
主讲人介绍: Ph.D., Economics, University of California, Davis, 2012 .Dissertation: “International Portfolio Diversification and Returns Correlation: Theory, Empirics, and Methodology for Panel Country-Pair Data,”.
内容摘要：Does financial development stimulate international portfolio diversification? Previous studies have demonstrated that, in addition to financial liberalization, financial development helps domestic investors increase their access to foreign markets and diversify investments abroad. However, financial development can promote investment within a domestic market by substituting for foreign investment. Our portfolio choice model with a multi-country general equilibrium (GE) framework analyzes the mixed effect of financial development on international equity positions. By introducing domestic volatility cost as a proxy for financial development, the model closely generates the real pattern of equity home bias in developed and developing countries and identifies the GE effects of changes in financial development across countries; that is, simultaneous financial development reduces home equity holdings in financially developed countries, not developing ones, which contributes to divergence in equity home bias between the two groups of countries. Further, our empirical analysis confirms that financial development has asymmetric effects on international portfolio diversification in developed and developing countries, as the theory expected.
