Article1998

Exploiting International Stock Market Correlations with Open‐end International Mutual Funds

Rahul Bhargava · Ann Bose · David A. Dubofsky

61 citations0/0 files storedJournal of Business Finance &amp Accounting

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

Abstract

Investors can exploit the correlations between international stock markets by trading no‐load, open‐end, international mutual funds. These investors in effect cheat passive investors because they buy the mutual funds at their net asset values, which do not reflect information released during the US trading day. The strategy we examine yields an annual rate of return 800 basis points above the S&P500, over a period of almost eight years.

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