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Cross-border linkages among Asian closed-end funds

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  • Emmanuel Anoruo
  • Sanjay Ramchander
  • Harold Thiewes

Abstract

This study investigates the behavior of nine Asian closed-end country funds traded on the NYSE over the period 1990–2001. The results indicate that fund discounts follow a mean-reverting process and, furthermore, display various cross-border patterns of influence that are contingent on the period examined. Notably, for the overall period, the Korean Fund exhibits the strongest market leadership. However, in the period following the Asian financial crisis, movements in the Thai Fund's discount have the strongest influence on, and responsiveness from, the other country funds. Copyright Springer 2003

Suggested Citation

  • Emmanuel Anoruo & Sanjay Ramchander & Harold Thiewes, 2003. "Cross-border linkages among Asian closed-end funds," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(3), pages 357-372, September.
    • Handle: RePEc:spr:jecfin:v:27:y:2003:i:3:p:357-372
    DOI: 10.1007/BF02761571
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    References listed on IDEAS

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    3. Jeffrey Frankel & Sergio Schmukler, 1996. "Country fund discounts and the mexican crisis of December 1994: Did local residents turn pessimistic before international investors?," Open Economies Review, Springer, vol. 7(1), pages 511-534, March.
    4. Lee, Charles M C & Shleifer, Andrei & Thaler, Richard H, 1991. "Investor Sentiment and the Closed-End Fund Puzzle," Journal of Finance, American Finance Association, vol. 46(1), pages 75-109, March.
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    7. Bodurtha, James N, Jr & Kim, Dong-Soon & Lee, Charles M C, 1995. "Closed-End Country Funds and U.S. Market Sentiment," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 879-918.
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    Cited by:

    1. Lauren Cutlip & Brian Fath, 2012. "Relationship between carbon emissions and economic development: case study of six countries," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 14(3), pages 433-453, June.
    2. Anoruo, Emmanuel & Ramchander, Sanjay & Thiewes, Harold, 2007. "Crisis, contagion and cross-border effects: Evidence from the Latin American closed-end fund market," Global Finance Journal, Elsevier, vol. 17(3), pages 403-418, March.

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