Abstract

http://ssrn.com/abstract=882710
 
 

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Crises, Contagion, and the Closed-End Country Fund Puzzle


Eduardo Levy Levy-Yeyati


Universidad Torcuato Di Tella - School of Business

Angel Ubide


affiliation not provided to SSRN

September 1998

IMF Working Paper No. 98/143

Abstract:     
This paper analyzes the behavior of closed-end country fond discounts, including evidence from the Mexican and East Asian crises. We find that the ratio of fund prices to their fundamental value increases dramatically during a crisis, an anomaly that we denote the "closed-end country fund puzzle." Our results show that the puzzle relates directly to the fact that international investors are less (more) sensitive to changes in local (global) market conditions than domestic investors. This asymmetry implies that foreign participation in local markets can both help dampen a crisis in the originating country, and amplify the contagion to noncrisis countries.

Number of Pages in PDF File: 54

Keywords: Country Funds, Contagion, Financial Crisis

JEL Classification: G1, E3

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Date posted: February 15, 2006  

Suggested Citation

Levy-Yeyati, Eduardo Levy and Ubide, Angel, Crises, Contagion, and the Closed-End Country Fund Puzzle (September 1998). IMF Working Paper, Vol. , pp. 1-54, 1998. Available at SSRN: http://ssrn.com/abstract=882710

Contact Information

Eduardo Levy Levy-Yeyati (Contact Author)
Universidad Torcuato Di Tella - School of Business ( email )
Saenz Valiente 1010
C1428BIJ Buenos Aires
Argentina
Angel Ubide
affiliation not provided to SSRN
No Address Available
Feedback to SSRN


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