신흥 채권시장에서의 자국편의 결정요인 분석

This study analyzes determinants of home bias in emerging bond markets. Based on the calculated results of home bias in each individual country during 2001 and 2008, it is confirmed that home biases in emerging market are bigger than those of developed countries and their sources mainly stem from bond market-specific factors rather than from country-specific macroeconomic factors. Major results of panel regression on the 18 emerging bond markets’home biases are as follows. First, it is significantly confirmed that increase in per capita GDP and decrease in country leverage ratio negatively affect the home biases in these emerging markets, reassuring the assumption that inbound bond investment from abroad can be expanded with the improved fundamentals in a certain country. Second, bond market liquidity and real exchange rate among market variables are shown to significantly have a negative and positive influence on the home bias in each emerging market,respectively, reassuring also market efficiency hypothesis. Third, the most interestingly in this paper, the countries’ credit spreads have a negative impact on each country’s home bias, which support such hypothesis as market overreaction postulating the market pariticipants’ contradictory behavior who recognize increases of spread in a certain country as a temporary overactive phenomenon rather than as a long-term signal for a change of fundamentals and expand their investment in that country resulting in reduction of home bias. Last, bond market volatility and skewness are proved to have an indirect positive and negative influence on the home bias, respectively, which can be another clue for investors’ sentiment hypothesis as shown in the third result.