| Summary: | 碩士 === 國立臺灣大學 === 財務金融學系 === 84 === In 1993, the study of Dr. Chiu, Shean-Bii on the discounts/
premiums of NYSE-listed Taiwan Fund found that the dramatic
changes of discounts/premiums on Taiwan Fund could be the sign
of crash in Taiwan stock market. He developed a trading
strategy based on these extreme values. The rate of return of
this trading strategy is much higher than a buy-and-hold
strategy for the same period. The thesis follows Dr. Chiu''s
research and broadens the research area. The results are:
1.Except in Latin America, there are close relationships
between co-movements of discounts/premiums on closed-end
country funds in different countries and capital movement
restrictions. This relationship is even more obvious in Europe.
Analyzed by periods, the influence of capital movement
restrictions on the co-movements of discounts/premiums between
countries is great for some existed-prior-to-1991 funds.
2.Changes in capital movement restrictions significantly
influence discounts/premiums of closed-end country funds. Six
countries removed restrictions on capital movement during study
periods. Five of them have larger discounts or smaller
premiums, and four are very significant. Irish Investment Fund
is the only one country fund that has smaller discounts after
unrestriction. 3.Investing in a closed-end country fund with a
larger discount will have more potential to gain. Considering
time values and standard deviations, four weeks is a proper
holding period. 4. Implementing the extreme-value strategy to a
single country market, there is a better return of such
strategy than a buy-and-hold strategy as capital movement is
restricted. When investing in multi-country portfolios, a
extreme-value strategy is not significantly better than a buy-
and-hold strategy.
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