Closed‐end country fund discounts and systematic UK and US market movements: co‐integration and error corrected Granger causality tests
Abstract
Summarizes three explanations put forward in previous research for the deviation of closed‐end fund (CEF) share prices from their net asset values and tests the theories based on market sentiment (noise trading) and market segmentation (market frictions). Analyses 1991‐1997 data on 18 UK CEFs (13 investing in the UK and 5 in the USA) to explore the pattern of cointegration and error corrected Granger causality between the fund discounts and indices which proxy for UK and US investor sentiment. Discusses the results, which support both theories for UK CEFs and show some evidence of cointegration and information transmission. Briefly considers consistency with other research and the implications of the findings.
Keywords
Citation
Bennett, A., Gronewoller, P.L., of Finance, D. and Estate, R. (2002), "Closed‐end country fund discounts and systematic UK and US market movements: co‐integration and error corrected Granger causality tests", Managerial Finance, Vol. 28 No. 1, pp. 73-92. https://doi.org/10.1108/03074350210767654
Publisher
:MCB UP Ltd
Copyright © 2002, MCB UP Limited