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Market Segmentation And International Asset Prices: Evidence From The Listing Of World Equity Benchmark Shares

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  • Dilip Kumar Patro

Abstract

This article provides an empirical analysis of the announcement effect of the listing of the seventeen World Equity Benchmark Shares (WEBS) on the returns of the corresponding market index returns and closed‐end country fund premiums. I find that the announcement of the listing of the WEBS resulted in a positive market price reaction for the market indexes. Furthermore, there was a significant decline in premiums for closed‐end country funds. The findings are consistent with models of international asset pricing under market segmentation and they illustrate that the listing of internationally tradable securities is an effective mechanism for integrating international capital markets. JEL classification: G14, G15

Suggested Citation

  • Dilip Kumar Patro, 2001. "Market Segmentation And International Asset Prices: Evidence From The Listing Of World Equity Benchmark Shares," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(1), pages 83-98, March.
    • Handle: RePEc:bla:jfnres:v:24:y:2001:i:1:p:83-98
    DOI: 10.1111/j.1475-6803.2001.tb00819.x
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    Cited by:

    1. Gutierrez, Jose A. & Martinez, Valeria & Tse, Yiuman, 2009. "Where does return and volatility come from? The case of Asian ETFs," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 671-679, October.
    2. Delcoure, Natalya & Zhong, Maosen, 2007. "On the premiums of iShares," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 168-195, March.
    3. Chen, Honghui & Morse, Joel N. & Nguyen, Hoang Huy, 2009. "Changes in the liquidity of closed-end country funds after the introduction of World Equity Benchmarks," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 1081-1094, August.
    4. Yiuman Tse & Jose A. Gutierrez, 2009. "Where does Volatility and Return Come From? The Case of Asian ETFs," Working Papers 0063, College of Business, University of Texas at San Antonio.
    5. Aditya Keshari & Amit Gautam, 2022. "Empirical Testing of Co-integration of International Financial Markets with Reference to India, the USA, Japan, and Hong Kong," Jindal Journal of Business Research, , vol. 11(1), pages 34-43, June.
    6. Tse, Yiuman & Martinez, Valeria, 2007. "Price discovery and informational efficiency of international iShares funds," Global Finance Journal, Elsevier, vol. 18(1), pages 1-15.
    7. Harper, Joel T. & Madura, Jeff & Schnusenberg, Oliver, 2006. "Performance comparison between exchange-traded funds and closed-end country funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 104-122, April.
    8. Huang, Mei-Yueh & Lin, Jun-Biao, 2011. "Do ETFs provide effective international diversification?," Research in International Business and Finance, Elsevier, vol. 25(3), pages 335-344, September.
    9. Richie, Nivine & Madura, Jeff, 2007. "Impact of the QQQ on liquidity and risk of the underlying stocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(3), pages 411-421, July.

    More about this item

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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