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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/B6V7T-4HG6NC8-1/2/eb41d11ed53eabb29f891e5d4b44704f
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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. 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.
  2. 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.
  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. 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.
  5. Tobin, James, 1981. "Money and Finance in the Macro-Economic Process," Nobel Prize in Economics documents 1981-1, Nobel Prize Committee.
  6. 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.
  7. 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.
  8. 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.
  9. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
  10. 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.
  11. Frankel, Jeffrey A. & Schmukler, Sergio L., 1998. "Country funds and asymmetric information," Policy Research Working Paper Series 1886, The World Bank.
  12. 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..
  13. 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.
  14. 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.
  15. 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.
  16. Robert S. Pindyck, 1983. "Risk, Inflation, and the Stock Market," NBER Working Papers 1186, National Bureau of Economic Research, Inc.
  17. 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.
  18. Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290.
  19. 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.
  20. 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.
  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. 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.
  23. 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.
  24. 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.
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