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

In: Market liquidity: proceedings of a workshop held at the BIS

  • Benjamin H Cohen

    (Bank for International Settlements)

  • Eli M Remolona

    (Bank for International Settlements)

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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This chapter was published in:
  • Bank for International Settlements, 2001. "Market liquidity: proceedings of a workshop held at the BIS," BIS Papers, Bank for International Settlements, number 02, March.
  • This item is provided by Bank for International Settlements in its series BIS Papers chapters with number 02-03.
    Handle: RePEc:bis:bisbpc:02-03
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