Diversification, Integration and Emerging Market Closed-End Funds

Using an extensive new data set on U.S. and U.K.-traded closed- end funds, we examine the diversification benefits from emerging equity markets and the extent of their integration with global capital markets. To measure diversification benefits, we exploit the duality between Hansen-Jagannathan

本研究依托一套覆盖美国与英国上市封闭式基金的大规模全新数据集，考察了新兴股票市场的多元化收益及其与全球资本市场的整合程度。为衡量多元化收益，我们利用了汉森-贾格纳尼（Hansen-Jagannathan）对偶性。