金融发展、金融开放与股权资产的本国偏好

Financial Development, Financial Openness and Equity Home Bias

本文基于EWN数据库以及WDI数据库,对全球股权资产的本国偏好程度进行测算,发现股权资产的本国偏好普遍存在,且发展中国家股权资产的本国偏好程度高于发达国家。为研究此现象形成的原因,本文基于93个经济体1995—2015年的跨国面板数据,实证检验了金融发展以及金融开放因素对股权资产本国偏好的重要影响。研究发现:金融发展水平的提高既能够提高本国的对外股权投资能力,也可以促进本国股市规模的扩大,对股权资产本国偏好的影响具有不确定性;而金融开放可以显著降低股权资产的本国偏好程度,且对发展中经济体的影响更大。本文的回归结果在改变样本划分方法、替换核心解释变量、加入更多解释变量、使用系统GMM(广义矩估计)的方法处理内生性等稳健性检验中均保持一致。由此可见,发展中国家金融开放程度的不足是导致其股权资产本国偏好程度较高的重要原因。

Based on EWN database and WDI database, this paper estimates the degree of equity home bias of all the countries available and finds out that it is stronger in developing countries than in advanced countries. In order to investigate the cause, this paper tests the vital effects of financial development and financial openness on equity home bias respectively based on the cross-border data of 93 economies from 1995 to 2015. The empirical analysis shows that since financial development can improve the foreign equity investment and the home stock market capitalization as well, the influence on equity home bias basically remains uncertain;financial openness can significantly reduce the degree of equity home bias, with more prominent influence in the samples of developing countries. The conclusions are robust when changing the subsamples, substituting core independent variables, adding more variables, using systematic GMM regression. This proves that the deficiency of financial openness in developing countries mainly explain the higher degree of equity home bias than that in advanced countries.