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Mean and volatility linkages for closed-end country funds

  • Tsai, Pei-Jung
  • Swanson, Peggy E.
  • Sarkar, Salil K.
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    File URL: http://www.sciencedirect.com/science/article/B6W5X-4MRG0DD-1/2/06af9f18f0e48a37eb35c2ecea67b352
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    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 47 (2007)
    Issue (Month): 4 (September)
    Pages: 550-575

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    Handle: RePEc:eee:quaeco:v:47:y:2007:i:4:p:550-575
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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    1. Kaminsky, Graciela & Lyons, Richard & Schmukler, Sergio, 2000. "Managers, investors, and crises : mutual fund strategies in emerging markets," Policy Research Working Paper Series 2399, The World Bank.
    2. 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.
    3. Hyuk Choe & Bong-Chan Kho & Rene M. Stulz, 1998. "Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997," NBER Working Papers 6661, National Bureau of Economic Research, Inc.
    4. Nagayasu, Jun, 2001. "Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand," Journal of Asian Economics, Elsevier, vol. 12(4), pages 529-546.
    5. Pindyck, Robert S., 1983. "Risk, inflation, and the stock market," Working papers 1423-83., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    6. 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.
    7. Giorgio De Santis & Selahattin Imrohoroglu, 1994. "Stock returns and volatility in emerging financial markets," Discussion Paper / Institute for Empirical Macroeconomics 93, Federal Reserve Bank of Minneapolis.
    8. Merton, Robert C., 1980. "On estimating the expected return on the market : An exploratory investigation," Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December.
    9. Jeffrey A. Frankel and Sergio L. Schmukler., 1997. "Country Funds and Asymmetric Information," Center for International and Development Economics Research (CIDER) Working Papers C97-087, University of California at Berkeley.
    10. 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.
    11. Pontiff, Jeffrey, 1997. "Excess Volatility and Closed-End Funds," American Economic Review, American Economic Association, vol. 87(1), pages 155-69, March.
    12. Froot, Kenneth A. & O'Connell, Paul G. J. & Seasholes, Mark S., 2001. "The portfolio flows of international investors," Journal of Financial Economics, Elsevier, vol. 59(2), pages 151-193, February.
    13. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
    14. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
    15. Geert Bekaert & Campbell R. Harvey, 1995. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
    16. 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.
    17. Hyuk Choe & Bong-Chan Kho & Rene M. Stulz, 2001. "Do Domestic Investors Have More Valuable Information About Individual Stocks Than Foreign Investors?," NBER Working Papers 8073, National Bureau of Economic Research, Inc.
    18. Kenneth A. Froot & Tarun Ramadorai, 2001. "The Information Content of International Portfolio Flows," NBER Working Papers 8472, National Bureau of Economic Research, Inc.
    19. Kaminsky, Graciela L. & Schmukler, Sergio L., 1999. "What triggers market jitters?: A chronicle of the Asian crisis," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 537-560, August.
    20. Brennan, Michael J & Cao, H Henry, 1997. " International Portfolio Investment Flows," Journal of Finance, American Finance Association, vol. 52(5), pages 1851-80, December.
    21. Pan, Ming-Shiun & Chan, Kam c & Wright, David J, 2001. "Divergent Expectations and the Asian Financial Crisis of 1997," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(2), pages 219-38, Summer.
    22. Chung, Huimin, 2005. "The contagious effects of the Asian financial crisis: some evidence from ADR and country funds," Journal of Multinational Financial Management, Elsevier, vol. 15(1), pages 67-84, February.
    23. Officer, R R, 1973. "The Variability of the Market Factor of the New York Stock Exchange," The Journal of Business, University of Chicago Press, vol. 46(3), pages 434-53, July.
    24. 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.
    25. Swanson, Peggy E. & Tsai, Pei-Jung, 2005. "Closed-end country funds and the role of exchange rates in pricing and in determination of premiums and discounts," Journal of Economics and Business, Elsevier, vol. 57(5), pages 388-410.
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