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International equity portfolio allocations and transaction costs

Thapa, Chandra and Poshakwale, S (2010) International equity portfolio allocations and transaction costs. Journal of Banking and Finance, 34 (11). pp. 2627-2638. ISSN 0378-4266

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Abstract

In spite of the critical role of transaction cost, there are not many papers that explicitly examine its influence on international equity portfolio allocation decisions. Using bilateral cross-country equity portfolio investment data and three direct measures of transaction costs for 36 countries, we provide evidence that markets where transaction costs are lower attract greater equity portfolio investments. The results imply that future research on international equity portfolio diversification cannot afford to ignore the role of transaction costs, and policy makers, especially in emerging markets, will have to reduce transaction costs to attract higher levels of foreign equity portfolio investments.

Item type: Article
ID code: 40947
Keywords: portfolio diversification, international equity allocation, transaction costs, developed and emerging markets, panel data models, Commerce, Finance, Economics and Econometrics
Subjects: Social Sciences > Commerce
Department: Strathclyde Business School > Accounting and Finance
Related URLs:
    Depositing user: Pure Administrator
    Date Deposited: 22 Aug 2012 13:23
    Last modified: 05 Sep 2014 17:28
    URI: http://strathprints.strath.ac.uk/id/eprint/40947

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