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

  • Tsai, Pei-Jung
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    This paper investigates the relationships between international equity flows and country fund pricing for 35 closed-end single country funds, and evaluates the impact of the Asian crisis on the relationships. Basic findings include: (1) strong relationships are identified between fund returns and international equity flows; (2) financial crises amplify the impact of international equity flows, via both mean and volatility measures, on fund returns and on premiums/discounts for emerging Asian market funds; (3) Asian crisis effects are limited to emerging Asian market funds; and (4) U.S. investors, relative to local investors, overreact to the Asian crisis. Thus, the evidence of international equity flow destabilization is strongly supported under the information dissemination hypothesis.

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    File URL: http://www.sciencedirect.com/science/article/B6W4F-4YR33G8-3/2/2e87e399f95855e3071d65e6491137ab
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    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 21 (2010)
    Issue (Month): 1 ()
    Pages: 43-70

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    Handle: RePEc:eee:glofin:v:21:y:2010:i:1:p:43-70
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620162

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