Articlegreen1996

Diversification, Integration and Emerging Market Closed‐End Funds

363 citations0/0 files storedThe Journal of Finance

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

ABSTRACT We study a new class of unconditional and conditional mean‐variance spanning tests that exploits the duality between Hansen‐Jagannathan bounds (1991) and mean‐standard deviation frontiers. The tests are shown to be equivalent to standard spanning 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 markets 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 United States versus the United Kingdom.

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References

1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1994The Sharpe Ratio 1995Time‐Varying World Market Integration 1991Investor Sentiment and the Closed-End Fund Puzzle 1991Investor Sentiment and the Closed‐End Fund Puzzle 1991Implications of Security Market Data for Models of Dynamic Economies 1990Implications of Security Market Data for Models of Dynamic Economies

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1999Can the Gains from International Diversification Be Achieved without Trading Abroad?2013Home Bias in Open Economy Financial Macroeconomics 2000Market Segmentation and the Cost of Capital in International Equity Markets 2001Testing for Mean‐Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets 2011Home Bias in Open Economy Financial Macroeconomics 2007

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