Mean and volatility linkages for closed-end country funds

This study investigates information flows between fund share prices and NAVs of 40 closed-end single country funds, compares behaviors between emerging and developed market funds, and evaluates the impact of the Asian financial market crisis on the relationships. Findings include: (1) For emerging markets, price returns bear most of the long-term adjustment while for developed markets both price returns and NAV returns adjust to long-term disequilibria; (2) Short-term effects, via both mean and volatility measures, are from NAV returns to price returns for both emerging and developed markets; (3) NAV returns dominate the relationships in all cases; and (4) Asian crisis effects were limited to Asian funds. Price returns and NAV returns relationships consistently reflect a degree of market segmentation between the U.S. market and emerging markets and provide useful information for U.S. investors. (C) 2006 Board of Trustees of the University of Illinois. All rights reserved.