Mean and volatility linkages for closed-end country funds

Tsai, Pei Jung; Swanson, Peggy E.; Sarkar, Salil K.

doi:10.1016/j.qref.2006.12.001

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Cited by 4 publications

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“…India, and Morg Stan India). This finding suggests that both price returns and NAV returns maintain considerable U.S. market exposure, consistent with Tsai et al (2007), who find that the U.S. market effects on country fund price and NAV returns are significant and positive.…”

Section: Resultssupporting

confidence: 88%

“…Nishiotis (2004) provides strong support for the effects of market segmentation in explaining premiums and discounts of emerging market country funds. Tsai, Swanson, and Sarkar (2007) investigate information flows between fund share prices and NAVs and find that price returns and NAV returns relationships consistently reflect a degree of market segmentation between the U.S. market and emerging markets.…”

Section: Related Literaturementioning

confidence: 99%

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