On the dual characteristics of closed-end country funds

Lee, Bongsoo; Hong, Gwangheon

doi:10.1016/s0261-5606(02)00014-1

Cited by 28 publications

(31 citation statements)

References 24 publications

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“…7 Froot, O'Connell, and Seasholes (2001) and Nagayasu (2001) conclude that the Asian crisis period was from July 1997 to December 1998, a period consistent with the largest fluctuations in exchange rates during the sample period. 8 Past studies find that the variation of fund returns is greater than the variation of fund NAV returns for U.S. domestic closed-end funds (Lee & Hong, 2002;Pontiff, 1997) and for country funds (Hardouvelis, La Porta, & Wizman, 1994). 9 Alternatively, volatility effects on fund returns are tested using the conditional variance from GARCH processes.…”

Section: Price Return/nav Return Testsmentioning

confidence: 99%

Country funds and the role of international equity flows in pricing and in premiums and discounts

Tsai

2010

Global Finance Journal

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Section: Price Return/nav Return Testsmentioning

confidence: 99%

Country funds and the role of international equity flows in pricing and in premiums and discounts

Tsai

2010

Global Finance Journal

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“…So, it would be meaningful to include the stock market performance in the return generating analysis. A number of studies have shown that country fund returns are sensitive to U.S. and foreign stock index returns, specifically focusing on the short-term (country fund return generating function) or the long-term (cointegration) relation of country fund returns and their comparable return series (e.g., Bekaert & Urias, 1996Ben-Zion, Choi, & Hauser, 1996;Chang, Eun, & Kolodny, 1995;Chiang & Kim, 2003;Hardouvelis, LaPorta, & Wizman, 1994;Lee & Hong, 2002;Richard & Wiggins, 2000).…”

Section: Literature Review and Hypothesis Development Decomposition Omentioning

confidence: 99%

An Examination of Component Returns and Volatility for Country-Specific Equity Funds in Emerging Markets: Evidence From Asian Financial Crisis

2013

CUBR

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This research aims to examine the daily return generating processes for country-specific funds in five east-Asian countries for the period 1995-2000. The effects of component returns and their volatility on the dollar denominated returns and volatility of U.S., international investors and the effects of exchange rate regimes on risk and return are also evaluated. The GARCH-M model is adopted, without the restrictive assumptions of linearity, independence, and constant conditional variance. The time frame, 1995-2000 captures a 30 months period prior to these East Asian countries aborting exchange rate stabilization/intermediate exchange rate regimes in response to the currency crisis. The decomposition of returns to holders of country-specific equity funds into the component returns due to changes in the exchange rate and the returns valued in the fund's foreign currency during a period of crisis provides additional information. This research provides evidence of the importance of examining component returns. With regards to the effects on volatility, both the conditional variances associated with the exchange rate returns and the returns denominated in the foreign currencies show some importance, especially the conditional variances associated with the returns denominated in the foreign currencies. With regards to the effects of return component, the exchange rate returns have a greater effect on the fund returns than foreign currency dominated returns.

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“…Related volatility studies include Pontiff (1997) for U.S. domestic closed-end funds and Lee and Hong (2002) for non-U.S. country funds, and both find that unconditional variance of fund price returns is significantly larger than the variance of returns on NAVs. Lee and Hong (2002) find that much of country fund price return variance appears to be due to non-fundamentals. This paper extends existing literature by combining volatility and mean effects, and by incorporating crisis effects into both the information contribution and the feedback trading framework.…”

Section: Related Literature and Empirical Hypothesesmentioning

confidence: 99%

International equity flows and country funds

Tsai

2009

Journal of International Financial Markets, Institutions and Mo

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On the dual characteristics of closed-end country funds

Cited by 28 publications

References 24 publications

Country funds and the role of international equity flows in pricing and in premiums and discounts

Country funds and the role of international equity flows in pricing and in premiums and discounts

An Examination of Component Returns and Volatility for Country-Specific Equity Funds in Emerging Markets: Evidence From Asian Financial Crisis

International equity flows and country funds

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