Cross-border linkages among Asian closed-end funds

Emmanuel Anoruo, Sanjay Ramchander and Harold Thiewes

Journal of Economics and Finance, 2003, vol. 27, issue 3, 357-372

Abstract: This study investigates the behavior of nine Asian closed-end country funds traded on the NYSE over the period 1990–2001. The results indicate that fund discounts follow a mean-reverting process and, furthermore, display various cross-border patterns of influence that are contingent on the period examined. Notably, for the overall period, the Korean Fund exhibits the strongest market leadership. However, in the period following the Asian financial crisis, movements in the Thai Fund's discount have the strongest influence on, and responsiveness from, the other country funds. Copyright Springer 2003

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:spr:jecfin:v:27:y:2003:i:3:p:357-372

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DOI: 10.1007/BF02761571

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