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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/73905

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/73905

Title:	The dual characteristics of closed-end country funds: the role of risk
Authors:	Shen, Chung-Hua;Chen, Chien-Fu;Chen, Shyh-Wei 沈中華
Contributors:	金融系
Date:	2010
Issue Date:	2015-03-18 14:35:41 (UTC+8)
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.
Relation:	Applied Economics - APPL ECON , vol. 42, no. 8, pp. 1003-1013
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1080/0003684070172101
DOI:	10.1080/0003684070172101
Appears in Collections:	[金融學系] 期刊論文

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