Diversification, Integration and Emerging Market Closed-End Funds
Geert Bekaert () and
Michael S Urias
Journal of Finance, 1996, vol. 51, issue 3, 835-69
We study a new class of unconditional and conditional mean-variance spanning tests that exploits the duality between Hansen-Jagannathan bounds (1991) and mean-standard deviation frontiers. The tests are shown to be equivalent to standard spanning tests in population, but we document substantial differences in the small sample performance of alternative tests. Our empirical application examines the diversification benefits from emerging equity markets using an extensive new data set on U.S. and U.K.-traded closed-end funds. We find significant diversification benefits for the U.K. country funds, but not for the U.S. funds. The difference appears to relate to differences in portfolio holdings rather than to the behavior of premiums in the United States versus the United Kingdom. Copyright 1996 by American Finance Association.
References: Add references at CitEc
Citations View citations in EconPapers (107) Track citations by RSS feed
Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819960 ... O%3B2-V&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.
Working Paper: Diversification, Integration and Emerging Market Closed-End Funds (1995)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:bla:jfinan:v:51:y:1996:i:3:p:835-69
Ordering information: This journal article can be ordered from
Access Statistics for this article
More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Series data maintained by Wiley-Blackwell Digital Licensing ().