Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153060
Authors: 
De Santis, Roberto A.
Gérard, Bruno
Year of Publication: 
2006
Series/Report no.: 
ECB Working Paper 626
Abstract: 
We investigate the determinants of bilateral international equity and bond portfolio reallocation across a large cross section of countries over the 1997 to 2001 period. We first argue that financial integration is not a global phenomenon, as equity and bond home biases declined significantly only among European countries, Australia, New Zealand and Singapore. Then, we show that the European Economic and Monetary Union (EMU) eased the access to the equity market and, to a larger extent, the bond market; thereby, enhancing regional financial integration in the euro area. Beside the effect of the EMU, the strongest determinants of the changes in portfolio weights are expected diversification benefits and the initial degree of underweight.
Subjects: 
EMU
home bias
International portfolio weights
Risk diversification
JEL: 
C13
C21
F37
G11
Document Type: 
Working Paper

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