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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/73905


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    題名: The dual characteristics of closed-end country funds: the role of risk
    作者: Shen, Chung-Hua;Chen, Chien-Fu;Chen, Shyh-Wei
    沈中華
    貢獻者: 金融系
    日期: 2010
    上傳時間: 2015-03-18 14:35:41 (UTC+8)
    摘要: This article explores which of two hypotheses, market segmentation or investor sentiment, determines the behaviour of Closed-End Country Funds (CECFs) with the inclusion of risk factors. The risk factors are proxied volatility, as estimated with a Bivariate Markov-switching Autoregressive Conditional Heteroskedasticity (BSWARCH) model, which simultaneously includes foreign and US markets. Our findings are as follows. On average, a positive response is larger than a negative response in terms of absolute value. And, the market segmentation hypothesis with risk factors gains support in Mexico, where CECF returns are related to a market with low volatility but not to one with high volatility. Third, the investor sentiment hypothesis, which argues that CECF returns are not responsive to foreign markets, is weakly supported in Brazil, the Philippines, Indonesia and, to a lesser degree, in Germany.
    關聯: Applied Economics - APPL ECON , vol. 42, no. 8, pp. 1003-1013
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1080/0003684070172101
    DOI: 10.1080/0003684070172101
    顯示於類別:[金融學系] 期刊論文

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