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.