Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/73905
DC Field | Value | Language |
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dc.contributor | 金融系 | |
dc.creator | Shen, Chung-Hua;Chen, Chien-Fu;Chen, Shyh-Wei | |
dc.creator | 沈中華 | zh_TW |
dc.date | 2010 | |
dc.date.accessioned | 2015-03-18T06:35:41Z | - |
dc.date.available | 2015-03-18T06:35:41Z | - |
dc.date.issued | 2015-03-18T06:35:41Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/73905 | - |
dc.description.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. | |
dc.format.extent | 137 bytes | - |
dc.format.mimetype | text/html | - |
dc.relation | Applied Economics - APPL ECON , vol. 42, no. 8, pp. 1003-1013 | |
dc.title | The dual characteristics of closed-end country funds: the role of risk | |
dc.type | article | en |
dc.identifier.doi | 10.1080/0003684070172101 | en_US |
dc.doi.uri | http://dx.doi.org/10.1080/0003684070172101 | en_US |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.openairetype | article | - |
item.grantfulltext | restricted | - |
item.cerifentitytype | Publications | - |
item.fulltext | With Fulltext | - |
Appears in Collections: | 期刊論文 |
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