The Investment Strategy to Discounts/Premiums on Closed-end Country Funds

• Main Authors: Wang, Cheng-Tsung, 王正聰
• Other Authors: Chiu,Shean-Bii;Lin,Ke-Hsiao
• Format: Others
• Language: zh-TW
• Published: 1996
• Online Access: http://ndltd.ncl.edu.tw/handle/88880357844293469228

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.