Diversification, Integration and Emerging Market Closed-End Funds

62 Pages Posted: 11 Aug 2000 Last revised: 26 Aug 2010

See all articles by Geert Bekaert

Geert Bekaert

Columbia Business School - Finance and Economics

Michael S. Urias

Morgan Stanley

Multiple version iconThere are 2 versions of this paper

Date Written: January 1995

Abstract

Using an extensive new data set on U.S. and U.K.-traded closed- end funds, we examine the diversification benefits from emerging equity markets and the extent of their integration with global capital markets. To measure diversification benefits, we exploit the duality between Hansen-Jagannathan bounds [1991] and mean-standard deviation frontiers. We find significant diversification benefits for the U.K. country funds, but not for the U.S. funds. The difference appears to relate to differences in portfolio holdings. To investigate global market integration, we compute the reduction in expected returns an investor would be willing to accept to avoid investment barriers in six countries. We find evidence of investment restrictions for Indonesia, Taiwan and Thailand, but not for Korea, the Philippines or Turkey.

Suggested Citation

Bekaert, Geert and Urias, Michael S., Diversification, Integration and Emerging Market Closed-End Funds (January 1995). NBER Working Paper No. w4990. Available at SSRN: https://ssrn.com/abstract=226588

Geert Bekaert (Contact Author)

Columbia Business School - Finance and Economics ( email )

3022 Broadway
New York, NY 10027
United States

Michael S. Urias

Morgan Stanley

1585 Broadway
New York, NY 10036
United States

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