The dual characteristics of closed-end country funds: the role of risk

Chung-Hua Shen, Shyh-Wei Chen and Chien-Fu Chen

Applied Economics, 2010, vol. 42, issue 8, 1003-1013

Abstract: This article explores which of two hypotheses, market segmentation or investor sentiment, determines the behaviour of Closed-End Country Funds (CECFs) with the inclusion of risk factors. The risk factors are proxied volatility, as estimated with a Bivariate Markov-switching Autoregressive Conditional Heteroskedasticity (BSWARCH) model, which simultaneously includes foreign and US markets. Our findings are as follows. On average, a positive response is larger than a negative response in terms of absolute value. And, the market segmentation hypothesis with risk factors gains support in Mexico, where CECF returns are related to a market with low volatility but not to one with high volatility. Third, the investor sentiment hypothesis, which argues that CECF returns are not responsive to foreign markets, is weakly supported in Brazil, the Philippines, Indonesia and, to a lesser degree, in Germany.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/00036840701721018 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:42:y:2010:i:8:p:1003-1013

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036840701721018

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().