Exploiting International Stock Market Correlations with Open‐end International Mutual Funds

Rahul Bhargava, Ann Bose and David A. Dubofsky

Journal of Business Finance & Accounting, 1998, vol. 25, issue 5‐6, 765-773

Abstract: Investors can exploit the correlations between international stock markets by trading no‐load, open‐end, international mutual funds. These investors in effect cheat passive investors because they buy the mutual funds at their net asset values, which do not reflect information released during the US trading day. The strategy we examine yields an annual rate of return 800 basis points above the S&P500, over a period of almost eight years.

Date: 1998
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