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Further Evidence on Closed-End Country Fund Prices and International Capital Flows

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  • George P. Nishiotis

    (University of Cyprus)

Abstract

Using cointegration analysis I establish a long-run relationship between country fund premiums and international capital flows in six out of 10 emerging markets and in two out of seven developed markets examined. This relationship is explored to derive an intuitive measure of capital market segmentation that accounts for investment barriers and does not rely on a specific asset pricing model. I find that most emerging markets are segmented, but some exhibit a clear trend toward integration, whereas most developed countries exhibit no evidence of segmentation. The segmentation measure reveals that the process toward integration is gradual and can be reversed.

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  • George P. Nishiotis, 2006. "Further Evidence on Closed-End Country Fund Prices and International Capital Flows," The Journal of Business, University of Chicago Press, vol. 79(4), pages 1727-1754, July.
    • Handle: RePEc:ucp:jnlbus:v:79:y:2006:i:4:p:1727-1754
    DOI: 10.1086/503646
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    Cited by:

    1. Tsai, Pei-Jung, 2009. "International equity flows and country funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 862-894, December.
    2. Tsai, Pei-Jung, 2010. "Country funds and the role of international equity flows in pricing and in premiums and discounts," Global Finance Journal, Elsevier, vol. 21(1), pages 43-70.
    3. Alexakis, Christos & Dasilas, Apostolos & Grose, Chris, 2013. "Asymmetric dynamic relations between stock prices and mutual fund units in Japan. An application of hidden cointegration technique," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 1-8.

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