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김희호 ( Heeho Kim ),장홍하 ( Zhang Hongxia ),김용구 ( Yongku Kim ) 한국국제경제학회 2016 국제경제연구 Vol.22 No.3
This study derives a model of foreign bias to examine the determinants of cross-border investment of sovereign wealth fund. Based on the model of foreign bias, we analyze the spatial spillover effects of cultural and geometric distances on the degree of foreign bias of sovereign wealth fund. We build the spatial weight matrix, which is specific to the foreign countries invested by sovereign wealth fund, for the spatial panel analysis. Using 315 cases from the panel data of foreign investment by sovereign wealth fund during the year 2008~2014, we empirically examine (1) whether the relationship between return, risk and foreign bias of sovereign wealth fund are statistically significant, and (2) whether this relationship depends on the spatial spillover effects of cultural and geometric distances. The evidence strongly supports our hypotheses across 6 different foreign investment countries (Australia, Canada, China, Germany, the United Kingdom, the United States).
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Currency Bias of Sovereign Wealth Fund Investments
권상욱,김희호,설윤 한국경제학회 2022 The Korean Economic Review Vol.38 No.3
This study provides an alternative explanation for the poor performance of sovereign wealth fund (SWF) investments based on key currency bias. Using the international portfolio rebalancing model and the matched firm data of 18,704 and 8,267 cases of SWFs’ cross-border investment during 1999–2017, evidence strongly supports the key currency bias hypothesis for the determination of SWFs’ cross-border investments. In sharp contrast to the relationship between the exchange rate and international portfolio flows, the economic rationale for the currency bias is to provide hedging against the exchange risk of SWFs’ cross- border investments by matching the denominated key currency of the SWF sources with the other denominated currency of foreign target assets. This study complements the existing finance literature by providing portfolio implications for analyzing cross-border investments by commercial institution investors and portfolio rebalancing of financial assets between different currency zones.
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