  The objective of this paper is to measure the degree of home bias (HB) within
holdings portfolio and to identify their determining factors. By following
literature and an international capital asset pricing model, we have chosen
quite a number of susceptible factors that impact HB. This model is, hence,
estimated for 20 countries, with cross-section econometrics, between 2008 and
2013. Our results show that all countries have recorded a high level of HB in
their holdings portfolio. After that, we test if the HB of the emerging markets
and that of the developed markets react differently to the determining factors.
The volatility of the exchange rate is statistically significant with emerging
markets, while it is hardly remarkable for the developed countries.
Co-variance, size, distance, language, legal framework and foreign organization
stocks prevents American investors to invest abroad.
