Wharton-SMU Research Center

In-House Seminar

Guest Speaker:
Yihong XIA
Assistant Professor of Finance, The Wharton School, University of Pennsylvania

Date & Venue:
Date: 22 June 2004, Tuesday
Time: 11.00am-12.00noon
Venue: Eu Tong Sen Building, Level 1, Seminar Room 2,
Singapore Management University
469 Bukit Timah Road, Singapore 259756
(Location Map)

Topic:

Illiquidity and Closed-End Country Fund Discounts

About the Seminar:
In a simple model of segmented markets and exogenous liquidity shock, the closed-end country fund premium is negatively affected by the illiquidity in the host market where shares of the country fund are traded, and positively affected by the illiquidity in the home market where the underlying assets are traded. To the extend that expected and unexpected liquidity affects asset prices and returns, the closed-end country fund premium should reflect the difference between the illiquidity of the fund shares and its underlying assets. Using the Amihud (2002) measure of illiquidity, we examine this hypothesis for U.S.-traded single country closed-end funds, and find a strong association between the fund premium and the illiquidity of both the host and the home markets. Moreover, this relation is much stronger for funds investing in emerging markets where market segmentation is more likely to be binding. These funds are also more sensitive to the systematic liquidity factor, suggesting that the country fund premium may contain a significant liquidity risk premium.

Chairperson:
Justin Chan
Assistant Professor of Finance, School of Business, Singapore Management University

Registration:
This seminar is free. Please register early. (Admission on a first-come-first-served basis.)
For registration, please click here (Registration closes on 21 June 2004, Monday)

Enquiries:

Ms. Lim Lih Yeng
Email: lylim@smu.edu.sg, Tel: 6822-0197
Ms. Priscilla Cheng
Email: priscillacheng@smu.edu.sg, Tel: 6822-0383