No place like home: Home bias and flight-to-quality in the Group of Seven Countries (dataset)

This dataset serves the purpose of replicating the findings presented in the research paper titled "No place like home: Home bias and flight-to-quality in Group of Seven countries." The main objective of the study is to examine the interplay between foreign equity bias and various time periods marked by flight-to-quality (FTQ) and fear-of-missing-out (FOMO). Our results show that within G7 economies flight-to-quality (FTQ) predominantly occurs within a domestic context. When there are heightened levels of flight-to-quality, characterized by low or negative dynamic correlations, investors tend to show a reduced inclination towards foreign investments. Instead, they prioritize the safety of domestic (government) assets over seeking refuge in United States (US) government bonds or pursuing international diversification. Secondly, our analysis shows that during periods marked by financial market turbulence, such as the 2008-2009 financial crisis, we observe an increase in levels of equity home bias. Simultaneously, foreign bias tends to decrease in tandem with declining equity-bond correlations, which are indicative of (FTQ) periods. In order to reproduce our findings please check the details in the readme file: No_place_like_home_README.txt.