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Dissertation
Three essays on empirical analysis of closed-end country fund price behavior
Doctor of Philosophy (Ph.D.), Drexel University
2001
DOI:
https://doi.org/10.17918/00008896
Abstract
In this dissertation, we investigate the time-varying behavior of country fund premiums and the pricing of country funds in the US market by applying monthly data of 37 single-country funds. Essay 1 provides empirical evidence on the relationship between closed-end country fund discounts and time-varying risk. We hypothesize that the existence, persistence, and time-variation in country fund discounts are attributable to the risk assessed on different countries by investors. We measure the risk with the conditional standard deviations from major macro-economic variables including stock returns, the change of exchange rates, inflation rates, real incomes, and interest rates. Empirical findings provide supportive evidence on the time-varying risk hypothesis. Among all the risk measures, the U.S. stock return volatility appears to be the most dominant risk factor in predicting the time varying country fund premium. Essay 2 analyzes the relationship between country fund returns and market factors, such as stock market return, fund premium (discount), and volatility in both US and foreign country. We also examine the impact of news (shock) variable from the US and foreign stock markets on the country fund pricing. The evidence shows that the US stock market returns and the previous level of fund premiums play significant roles in determining country fund prices. The evidence also indicates that the unexpected volatility of the foreign stock return has information content in explaining the country fund returns. Building on the empirical evidence derived from essay two, the third essay explores the nonlinear specifications of the country fund pricing to see if such linear multivariate models can be generalized by nonlinear behavior to capture a more comprehensive relationship among the variables. Our analysis shows that the hypothesis of linearity is rejected and there are at least several nonlinear variables that help explain the pricing of country funds.
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Details
- Title
- Three essays on empirical analysis of closed-end country fund price behavior
- Creators
- Euiseong Lee
- Contributors
- Thomas Chi-Nan Chiang (Advisor) - Drexel University, Drexel University (1970-)
- Awarding Institution
- Drexel University
- Degree Awarded
- Doctor of Philosophy (Ph.D.)
- Publisher
- Drexel University; Philadelphia, Pennsylvania
- Number of pages
- x, 125 pages
- Resource Type
- Dissertation
- Language
- English
- Academic Unit
- Bennett S. LeBow College of Business; Drexel University
- Other Identifier
- 991021889071104721