Changes in the liquidity of closed-end country funds after the introduction of World Equity Benchmarks

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dc.contributor.authorMorse, Joel N.
dc.contributor.authorChen, Honghui
dc.contributor.authorNguyen, Hoang Huy
dc.date.accessioned2017-06-02T15:49:35Z
dc.date.available2017-06-02T15:49:35Z
dc.date.issued2009-08
dc.description.abstractIn 1996, the first exchange-traded funds (ETFs) designed to track a subset of the Morgan Stanley Capital International country indices were approved under the name World Equity Benchmarks (acronym “WEBS”TM). We examine the impact of early WEBStrading on the liquidity of corresponding closed-end country funds (CECFs), previously one of the main avenues for retail investors to achieve country-specific equity exposure. We document a decline in both the trading volume and the trading frequency for CECFs, suggesting that some investors migrate to WEBS. At the same time, the market depth for CECFs increases and the bid-ask spread for CECFs decreases following the introduction of WEBS. Our results support the hypothesis that despite the decline in volume and trading frequency, the liquidity of CECFs is favorably affected by the advent of WEBS.en_US
dc.format.extent14 pagesen_US
dc.genrejournal articlesen_US
dc.identifierdoi:10.13016/M2P844
dc.identifier.citationMorse, Joel N.; Chen, Honghui; Nguyen, Hoang Huy “Changes in the Liquidity of Closed-End Country Funds after the Introduction of World Equity Benchmarks,” Quarterly Review of Economics and Finance, Vol.49, No. 3, August, 2009, pp. 1081-1094en_US
dc.identifier.urihttp://hdl.handle.net/11603/3948
dc.language.isoen_USen_US
dc.publisherElsevieren_US
dc.relation.isAvailableAtUniversity of Baltimore
dc.subjectWebsen_US
dc.subjectETF’sen_US
dc.subjectMarket microstructureen_US
dc.subjectClosed-end country fundsen_US
dc.subjectComplementary marketsen_US
dc.titleChanges in the liquidity of closed-end country funds after the introduction of World Equity Benchmarksen_US
dc.typeTexten_US

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