Diversification, Integration and Emerging Market Closed-End Funds

Posted: 7 Jul 1998

See all articles by Geert Bekaert

Geert Bekaert

Columbia Business School - Finance and Economics

Multiple version iconThere are 2 versions of this paper

Date Written: February 22, 1996

Abstract

We study a new class of unconditional and conditional mean-variance spanning tests that exploit the duality between Hansen-Jagannathan bounds [1991] and mean-variance standard deviation frontiers. The tests are shown to be equivalent to standard tests in population but we document substantial differences in the small sample performance of alternative tests. Our empirical application examines the diversification benefits from emerging equity market using an extensive new data set on U.S.- and U.K.-traded closed-end funds. 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 rather than to the behavior of premiums in the U.S. versus the U.K. With the exception of the opening of Taiwan's market in January 1991, explicit changes in investment barriers had no negative impact on the diversification benefits from holding a market's closed-end funds.

JEL Classification: G11, G15, F36

Suggested Citation

Bekaert, Geert, Diversification, Integration and Emerging Market Closed-End Funds (February 22, 1996). Available at SSRN: https://ssrn.com/abstract=7274

Geert Bekaert (Contact Author)

Columbia Business School - Finance and Economics ( email )

3022 Broadway
New York, NY 10027
United States

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