IDEAS home Printed from
   My bibliography  Save this paper

Measuring the Impact of Behavioural Traders in the Market for Closed-end Country Funds from 2002 to 2009


  • Hugh Kelley
  • Tom Evans

    (Department of Economics, National University of Ireland, Galway)


This work investigates whether traders’ state dependant expectations biases can account for anomalous country fund price movements for a seven year period spanning the 2007-08 banking crises. We provide a multiple agent asset-pricing model that includes both rational traders and traders who display biases in expectations formation following market states with large amounts of fundamental value variance or CNN financial news. Importantly, traders’ biased behavior is based on evidence of state-dependant over- or under-reaction biases observed in asset price forecasting experiments. Closed-form solutions from the multi-agent pricing model predict a multiple driver property of fund prices. Empirical tests for these drivers’ influence in field data finds that a significant amount of out-of-sample country fund discount variance can be explained by dummies representing the occurrence of behavioral bias trigger states.

Suggested Citation

  • Hugh Kelley & Tom Evans, 2009. "Measuring the Impact of Behavioural Traders in the Market for Closed-end Country Funds from 2002 to 2009," Working Papers 0148, National University of Ireland Galway, Department of Economics, revised 2009.
  • Handle: RePEc:nig:wpaper:0148

    Download full text from publisher

    File URL:
    File Function: First version, 2009
    Download Restriction: no

    File URL:
    File Function: Revised version, 2009
    Download Restriction: no

    More about this item


    Algorithmic Trading; MACD;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nig:wpaper:0148. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Srinivas Raghavendra). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.