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Estimating Equity Home Bias from Investor and Index Weights

Article Quant Q&A · Author: michael
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Summary

The document describes a proposed way to estimate investment home bias by comparing the share of a country's investors' equity capital invested domestically with that country's share of the global equity market. The questioner seeks annual investor allocation and MSCI World country weight data over a historical period, then plans to subtract the index weight from the domestic allocation for each year and country.

The example cites a domestic allocation and a US weight in the global index, but the discussion supplies no historical series or method for obtaining them. A reply points to a financial data search service as one possible source, without confirming coverage, availability, or accuracy. The note therefore frames a measurement approach and a data sourcing problem rather than providing a completed analysis. Results would depend on consistent definitions, dates, investor coverage, and benchmark construction for both inputs; the subtraction alone does not establish why home bias exists or whether the measure is comparable across countries and time.

Key ideas

  • Home bias can be measured by comparing domestic equity allocation with the country's share of global equity markets.
  • The proposed measure subtracts the global benchmark weight from investors' domestic allocation for the same country and year.
  • The question seeks historical data for both components, but the document does not provide the requested time series.
  • Data availability and consistent definitions are key limits of the proposed comparison.

Tags

EquitiesPortfolio constructionUS markets
Full text
# Where to find Investment home bias data & Historical country weight in World MSCI


# Where to find Investment home bias data & Historical country weight in World MSCI












I need the following data and struggles to find it, maybe some of you can help me. Note: I'm a student and in our university ain't Bloomberg nor Reuters.

- Investment home bias, e.g in 2012 US investors invested about 76% of their equity investment capital in the US market (This is real data). I need this figure for let's say all years between 1990-2015.

- Here I can find for the latest year (They have only the latest PDF - 2015) US country weight out of the world equity market (Second page, 59.33%). This is true because MSCI World index is considered to be the benchmark for this. How can I find this data for all years between 1990-2015?

The purpose: First number minus the second (for same year, for same country) is the real Investment home bias (for same year, for same country).

Thanks,

## Answer by user37317 (score -1)

https://quant.stackexchange.com/a/25343

Have you tried searching at Quandl here: https://www.quandl.com/search?query=msci&type=all (Quandl also has flexible pricing plans for individual users, not just companies)

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.