Country funds and the role of international equity flows in pricing and in premiums and discounts

Pei-Jung Tsai

Global Finance Journal, 2010, vol. 21, issue 1, 43-70

Abstract: This paper investigates the relationships between international equity flows and country fund pricing for 35 closed-end single country funds, and evaluates the impact of the Asian crisis on the relationships. Basic findings include: (1) strong relationships are identified between fund returns and international equity flows; (2) financial crises amplify the impact of international equity flows, via both mean and volatility measures, on fund returns and on premiums/discounts for emerging Asian market funds; (3) Asian crisis effects are limited to emerging Asian market funds; and (4) U.S. investors, relative to local investors, overreact to the Asian crisis. Thus, the evidence of international equity flow destabilization is strongly supported under the information dissemination hypothesis.

Keywords: Country; funds; Equity; flows; Volatility; effects; Asian; crisis (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:21:y:2010:i:1:p:43-70

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