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Information flows during the Asian crisis: Evidence from closed-end funds

  • Cohen, Benjamin H.
  • Remolona, Eli M.

We test for the direction of information flow between US and Asian equity markets by comparing prices in Asian equity markets with prices of US-based closed-end funds that invest in those markets. Exploiting the fact that trading hours in the two regions do not overlap, we find that the day-to-day influence of local-market returns on the corresponding fund returns abroad was stronger before the crisis, while effects in the opposite direction rose somewhat during the crisis. This suggests that US market sentiment assumed a relatively more important role in driving Asian market developments during the crisis, while US investors were relatively less influenced by the views of Asian investors.

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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 27 (2008)
Issue (Month): 4 (June)
Pages: 636-653

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Handle: RePEc:eee:jimfin:v:27:y:2008:i:4:p:636-653
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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