Abstract

https://ssrn.com/abstract=2084121
 


 



Investigating the Role of Illiquidity in Explaining the UK Closed-End Country Fund Discount


John Richard (Dick) Davies


University of Strathclyde - Department of Accounting and Finance

Mary Fletcher


University of the West of Scotland; University of Strathclyde - Department of Accounting and Finance

Andrew P. Marshall


University of Strathclyde - Strathclyde Business School

June 6, 2012

29th International Conference of the French Finance Association (AFFI) 2012

Abstract:     
In this paper we examine whether the UK closed-end country fund discounts are related to the illiquidity of the UK fund or the illiquidity of the country the fund invests in. We also consider whether emerging market country funds behave differently in terms of their discount and illiquidity to developed market country funds, and in particular whether they offer more stability during the period of the recent financial crisis. We find country illiquidity plays a significant role in the discount of emerging market funds. However, in developed market funds country illiquidity is not significant. Fund illiquidity, in contrast, is significant for developed market funds but not for emerging market funds. We find that investor sentiment is significant in the discount of both developed and emerging market funds. The recent financial crisis has had a widespread effect on the discount and illiquidity across both developed and emerging markets, but emerging market funds seem to have recovered to pre-crisis levels more quickly than funds investing in developed markets.

Number of Pages in PDF File: 37

Keywords: Closed-end country funds, investment trusts, illiquidity, sentiment

JEL Classification: G14, G12


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Date posted: November 5, 2012  

Suggested Citation

Davies, John Richard (Dick) and Fletcher, Mary and Marshall, Andrew P., Investigating the Role of Illiquidity in Explaining the UK Closed-End Country Fund Discount (June 6, 2012). 29th International Conference of the French Finance Association (AFFI) 2012. Available at SSRN: https://ssrn.com/abstract=2084121 or http://dx.doi.org/10.2139/ssrn.2084121

Contact Information

John Richard (Dick) Davies
University of Strathclyde - Department of Accounting and Finance ( email )
Curran Building
100 Cathedral Street
Glasgow G4 0LN
United Kingdom
Mary Fletcher (Contact Author)
University of the West of Scotland ( email )
A734 Almada Building
Almada Street
Hamilton, Scotland ML3 0JB
United Kingdom
01698 283100 x8272 (Phone)
University of Strathclyde - Department of Accounting and Finance ( email )
Curran Building
100 Cathedral Street
Glasgow G4 0LN
United Kingdom
Andrew P. Marshall
University of Strathclyde - Strathclyde Business School ( email )
100 Cathedral Street
Glasgow G4 0LN
United Kingdom
44 0141 548 3894 (Phone)
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