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Country-fund discounts and risk: Evidence from stock market volatility and macroeconomic volatility

  • Chiang, Thomas C.
  • Kim, Doseong
  • Lee, Euiseong

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File URL: http://www.sciencedirect.com/science/article/pii/S0148-6195(05)00076-7
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Article provided by Elsevier in its journal Journal of Economics and Business.

Volume (Year): 58 (2006)
Issue (Month): 4 ()
Pages: 303-322

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Handle: RePEc:eee:jebusi:v:58:y:2006:i:4:p:303-322
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconbus

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  1. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
  2. Jeffrey A. Frankel & Sergio L. Schmukler, 1996. "Country Fund Discounts, Asymmetric Information and the Mexican Crisis of 1994: Did Local Residents Turn Pessimistic Before International Investors?," NBER Working Papers 5714, National Bureau of Economic Research, Inc.
  3. Parks, Richard W, 1978. "Inflation and Relative Price Variability," Journal of Political Economy, University of Chicago Press, vol. 86(1), pages 79-95, February.
  4. Tobin, James, 1981. "Money and Finance in the Macro-Economic Process," Nobel Prize in Economics documents 1981-1, Nobel Prize Committee.
  5. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  6. Chiang, Thomas C & Chiang, Jeannette Jin, 1996. "Dynamic Analysis of Stock Return Volatility in an Integrated International Capital Market," Review of Quantitative Finance and Accounting, Springer, vol. 6(1), pages 5-17, January.
  7. Peter Klibanoff & Owen Lamont & Thierry A. Wizman, 1996. "Investor Reaction to Salient News in Closed-End Country Funds," NBER Working Papers 5588, National Bureau of Economic Research, Inc.
  8. Adrian R. Pagan & G. William Schwert, 1989. "Alternative Models For Conditional Stock Volatility," NBER Working Papers 2955, National Bureau of Economic Research, Inc.
  9. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
  10. Chandar, Nandini & Patro, Dilip Kumar, 2000. "Why do closed-end country funds trade at enormous premiums during currency crises?," Pacific-Basin Finance Journal, Elsevier, vol. 8(2), pages 217-248, May.
  11. Becker, Kent G. & Finnerty, Joseph E. & Friedman, Joseph, 1995. "Economic news and equity market linkages between the U.S. and U.K," Journal of Banking & Finance, Elsevier, vol. 19(7), pages 1191-1210, October.
  12. Frankel, Jeffrey A & Schmukler, Sergio L, 2000. "Country Funds and Asymmetric Information," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 5(3), pages 177-95, July.
  13. Robert S. Pindyck, 1983. "Risk, Inflation, and the Stock Market," NBER Working Papers 1186, National Bureau of Economic Research, Inc.
  14. Jeffrey A. Frankel & Sergio L. Schmukler, 1996. "Country fund discounts and the Mexican crisis of December 1994: did local residents turn pessimistic before international investors?," International Finance Discussion Papers 563, Board of Governors of the Federal Reserve System (U.S.).
  15. Choi, Jongmoo Jay & Lee, Insup, 1996. "Market Segmentation and the Valuation of Closed-End Country Funds: An Empirical Analysis," Review of Quantitative Finance and Accounting, Springer, vol. 7(1), pages 45-63, July.
  16. Lee, Bong-Soo & Hong, Gwangheon, 2002. "On the dual characteristics of closed-end country funds," Journal of International Money and Finance, Elsevier, vol. 21(5), pages 589-618, October.
  17. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  18. Lauterbach, Beni, 1989. "Consumption volatility, production volatility, spot-rate volatility, and the returns on treasury bills and bonds," Journal of Financial Economics, Elsevier, vol. 24(1), pages 155-179, September.
  19. Masih, Rumi & Masih, Abul M. M., 2001. "Long and short term dynamic causal transmission amongst international stock markets," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 563-587, August.
  20. Eun, Cheol S & Janakiramanan, S, 1986. " A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership," Journal of Finance, American Finance Association, vol. 41(4), pages 897-914, September.
  21. Christine Jiang & Thomas Chiang, 2000. "Do foreign exchange risk premiums relate to the volatility in the foreign exchange and equity markets?," Applied Financial Economics, Taylor & Francis Journals, vol. 10(1), pages 95-104.
  22. Pagan, Adrian & Ullah, Aman, 1988. "The Econometric Analysis of Models with Risk Terms," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(2), pages 87-105, April.
  23. Chiang, Thomas C., 1991. "International asset pricing and equity market risk," Journal of International Money and Finance, Elsevier, vol. 10(3), pages 349-364, September.
  24. Modigliani, Franco & Shiller, Robert J, 1973. "Inflation, Rational Expectations and the Term Structure of Interest Rates," Economica, London School of Economics and Political Science, vol. 40(157), pages 12-43, February.
  25. Diebold, Francis X & Nerlove, Marc, 1989. "The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(1), pages 1-21, Jan.-Mar..
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