This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Diversification, Integration and Emerging Market Closed-End Funds

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
 Bekaert, Geert
Urias, Michael S

Additional information is available for the following registered author(s):

Abstract

We study a new class of unconditional and conditional mean-variance spanning tests that exploits the duality between Hansen-Jagannathan bounds (1991) and mean-standard deviation frontiers. The tests are shown to be equivalent to standard spanning tests in population, but we document substantial differences in the small sample performance of alternative tests. Our empirical application examines the diversification benefits from emerging equity markets using an extensive new data set on U.S. and U.K.-traded closed-end funds. We find significant diversification benefits for the U.K. country funds, but not for the U.S. funds. The difference appears to relate to differences in portfolio holdings rather than to the behavior of premiums in the United States versus the United Kingdom. Copyright 1996 by American Finance Association.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://links.jstor.org/sici?sici=0022-1082%28199607%2951%3A3%3C835%3ADIAEMC%3E2.0.CO%3B2-V&origin=repec
File Format: application/pdf
File Function: full text
Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 51 (1996)
Issue (Month): 3 (July)
Pages: 835-69
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:bla:jfinan:v:51:y:1996:i:3:p:835-69

Contact details of provider:
Web page: http://www.afajof.org/
More information through EDIRC

Order Information:
Web: http://www.afajof.org/membership/join.asp

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Other versions of this item:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Bansal, Ravi & Hsieh, David A & Viswanathan, S, 1993. " A New Approach to International Arbitrage Pricing," Journal of Finance, American Finance Association, vol. 48(5), pages 1719-47, December. [Downloadable!] (restricted)
  2. Marcio Gomes Pinto Garcia & G. Bekaert & C.R. Harvey, 1995. "The role of capital markets in economic growth," Textos para discussão 342, Department of Economics PUC-Rio (Brazil). [Downloadable!]
  3. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Bailey, Warren & Jagtiani, Julapa, 1994. "Foreign ownership restrictions and stock prices in the Thai capital market," Journal of Financial Economics, Elsevier, vol. 36(1), pages 57-87, August. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Geert Bekaert & Campbell R. Harvey, 1997. "Foreign Speculators and Emerging Equity Markets," NBER Working Papers 6312, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Lorenzo Cappiello & Bruno Gérard & Arjan Kadareja & Simone Manganelli, 2006. "Financial integration of new EU Member States," Working Paper Series 683, European Central Bank. [Downloadable!]
  3. Susan Thorp, 2004. "That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds," Econometric Society 2004 Australasian Meetings 148, Econometric Society. [Downloadable!]
  4. Geert Bekaert & Jun Liu, 2001. "Conditioning Information and Variance on Pricing Kernals," University of California at Los Angeles, Anderson Graduate School of Management 1009, Anderson Graduate School of Management, UCLA. [Downloadable!]
  5. William N. Goetzmann & Philippe Jorion, 1997. "Re-emerging Markets," NBER Working Papers 5906, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  6. Gyöngyi Bugár & Raimond Maurer, 2002. "International Equity Portfolios and Currency Hedging: The Viewpoint of German and Hungarian Investors," Working Paper Series: Finance and Accounting 67, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
  7. Mika Vaihekoski, 2000. "Unconditional international asset pricing models: empirical tests," Finnish Economic Papers, Finnish Society for Economic Research, vol. 13(2), pages 71-88, Autumn. [Downloadable!]
  8. Schröder, Michael, 2000. "Investment opportunities in Central and Eastern European equity markets : an econometric examination of the risk-return relationships for western investors," ZEW Discussion Papers 00-42, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  9. Bugàr, Gyöngyi & Maurer, Raimond, 2001. "International Equity Portfolios and Currency Hedging: The Viewpoint of German and Hungarian Investors," Sonderforschungsbereich 504 Publications 01-10, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
  10. Post, G.T., 2001. "Spanning and Intersection: a stochastic dominance approach," Research Paper ERS-2001-63-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  11. Geert Bekaert & Campbell R. Harvey, 1998. "Capital Flows and the Behavior of Emerging Market Equity Returns," NBER Working Papers 6669, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  12. Patrick F. Rowland & Linda L. Tesar, 2004. "Multinationals and the Gains from International Diversification," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(4), pages 789-826, October. [Downloadable!] (restricted)
    Other versions:
  13. Karen K. Lewis, 1998. "International Home Bias in International Finance and Business Cycles," NBER Working Papers 6351, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  14. Roon, F.A. de & Nijman, T.E. & Werker, B.J.M., 1996. "Testing for spanning with futures contracts and nontraded assets : a general approach," Discussion Paper 83, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? All RePEc services are meant to be be free forever, as they are all run by volunteers.

This page was last updated on 2008-11-26.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.