{"title":"外商直接投资中的相关性厌恶","authors":"Navruz Khotamov, Naoto Jinji","doi":"10.1016/j.frl.2024.106728","DOIUrl":null,"url":null,"abstract":"Decisions under risk are often <ce:italic>multidimensional</ce:italic>, where the preferences of the investor depend on several factors. Investment theory implies that in the presence of different shocks, the correlation between these shocks is important. This study analyzes the relationship between the correlation of two shocks and foreign direct investment (FDI). The sources of shocks, in this study, are related to demand and exchange rate in the destination market. Constructing large panel data on industry-level FDI, we analyze FDI under correlation risk. We show that in the presence of two shocks, industry-level FDI flows exhibit <ce:italic>correlation aversion</ce:italic> and that the correlation of two distinct shocks explains significant variation in geographic allocation of FDI at the industry-level.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"43 1","pages":""},"PeriodicalIF":7.4000,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Correlation aversion in foreign direct investment\",\"authors\":\"Navruz Khotamov, Naoto Jinji\",\"doi\":\"10.1016/j.frl.2024.106728\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Decisions under risk are often <ce:italic>multidimensional</ce:italic>, where the preferences of the investor depend on several factors. Investment theory implies that in the presence of different shocks, the correlation between these shocks is important. This study analyzes the relationship between the correlation of two shocks and foreign direct investment (FDI). The sources of shocks, in this study, are related to demand and exchange rate in the destination market. Constructing large panel data on industry-level FDI, we analyze FDI under correlation risk. We show that in the presence of two shocks, industry-level FDI flows exhibit <ce:italic>correlation aversion</ce:italic> and that the correlation of two distinct shocks explains significant variation in geographic allocation of FDI at the industry-level.\",\"PeriodicalId\":12167,\"journal\":{\"name\":\"Finance Research Letters\",\"volume\":\"43 1\",\"pages\":\"\"},\"PeriodicalIF\":7.4000,\"publicationDate\":\"2025-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Finance Research Letters\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1016/j.frl.2024.106728\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finance Research Letters","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1016/j.frl.2024.106728","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Decisions under risk are often multidimensional, where the preferences of the investor depend on several factors. Investment theory implies that in the presence of different shocks, the correlation between these shocks is important. This study analyzes the relationship between the correlation of two shocks and foreign direct investment (FDI). The sources of shocks, in this study, are related to demand and exchange rate in the destination market. Constructing large panel data on industry-level FDI, we analyze FDI under correlation risk. We show that in the presence of two shocks, industry-level FDI flows exhibit correlation aversion and that the correlation of two distinct shocks explains significant variation in geographic allocation of FDI at the industry-level.
期刊介绍：
Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies.
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