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      KCI등재

      Empirical Investigation on the Determinants of Closed-End country-fund returns

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      https://www.riss.kr/link?id=A60147564

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      참고문헌 (Reference)

      1 Karolyi, G. A, "Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements" 51 : 951-986, 1996

      2 Hardouvelis, G., "What Moves the Discount on Closed-End Country Funds?"

      3 Theodossiou, P., "Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets" 32 : 205-224, 1997

      4 Fama, E. F, "Risk, Return, and Equilibrium: Empirical Tests" 81 : 607-636, 1973

      5 Bollerslev, T, "Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances" 11 : 143-172, 1992

      6 Arak, M, "Optimal Trading with Mean-Reverting Prices: Switching between Foreign Stocks and Closed-End Country Funds" 28 : 1067-1074, 1996

      7 Lee, B. S, "On the Dual Characteristics of Closed-End Country Funds" 21 : 589-618, 2002

      8 Chiang, T. C, "On Country Fund Price Behavior– An Empirical Analysis of Cointegrating Factors" 11 : 85-112, 2000

      9 Campbell, J. Y, "No News Is Good News: An Asymmetric Model of Changing Volatility in Stock Returns" 31 : 281-318, 1992

      10 Engle, R. F, "Multivariate Simultaneous Generalized ARCH" 11 : 122-150, 1995

      1 Karolyi, G. A, "Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements" 51 : 951-986, 1996

      2 Hardouvelis, G., "What Moves the Discount on Closed-End Country Funds?"

      3 Theodossiou, P., "Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets" 32 : 205-224, 1997

      4 Fama, E. F, "Risk, Return, and Equilibrium: Empirical Tests" 81 : 607-636, 1973

      5 Bollerslev, T, "Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances" 11 : 143-172, 1992

      6 Arak, M, "Optimal Trading with Mean-Reverting Prices: Switching between Foreign Stocks and Closed-End Country Funds" 28 : 1067-1074, 1996

      7 Lee, B. S, "On the Dual Characteristics of Closed-End Country Funds" 21 : 589-618, 2002

      8 Chiang, T. C, "On Country Fund Price Behavior– An Empirical Analysis of Cointegrating Factors" 11 : 85-112, 2000

      9 Campbell, J. Y, "No News Is Good News: An Asymmetric Model of Changing Volatility in Stock Returns" 31 : 281-318, 1992

      10 Engle, R. F, "Multivariate Simultaneous Generalized ARCH" 11 : 122-150, 1995

      11 Choi, J. J, "Market Segmentation and the Valuation of Closed-End Country Funds: An Empirical Analysis" 7 : 45-63, 1996

      12 Bekaert, G, "Is There a Free Lunch in Emerging Market Equities?" 25 : 83-95, 1999

      13 Solnik, B., "International Market Correlation and Volatility" 52 : 17-34, 1996

      14 Chang, E., "International Diversification through Closed-End Country F" 19 : 1237-1263, 1995

      15 Frances, P. H, "Forecasting Stock Market Volatility Using Non-Linear GARCH Models" 15 : 229-235, 1996

      16 French, K. R., "Expected Stock Returns and Volatility" 19 : 3-30, 1987

      17 Bailey, W, "Evaluating the Diversification Benefits of the New Country Funds" 18 : 74-80, 1992

      18 Breeden, D. T., "Empirical Tests of the Consumption-Oriented CAPM" 44 : 231-262, 1989

      19 Breen, W., "Economic Significance of Predictable Variations in Stock Index Returns" 44 : 1177-1189, 1989

      20 Chen, R., "Economic Forces and the Stock Market" 59 : 383-403, 1986

      21 Pagan,A, "Econometric Issues in the Analysis of Regressions with Generalized Regressors" 25 : 2211-2248, 1984

      22 Bekaert, G, "Diversification, Integration and Emerging Market Closed-End Funds" 51 : 835-869, 1996

      23 Diwan, I., "Country Funds for Emerging Economies" Portfolio Investment in Developing Countries 1993

      24 Pontiff,J, "Costly Arbitrage:Evidence from Closed-End Fund" 111 : 1135-1151, 1996

      25 Nelson,D.B, "Conditional Heteroskedasticity in Asset Returns:A New Approach" 59 : 347-370, 1991

      26 Kasa,K, "Common Stochastic Trends in International Stock Markets" 29 : 95-124, 1992

      27 Rozeff,M.S, "Closed-End Fund Discounts and Premiums" 2 : 503-522, 1991

      28 Bodurtha, J. N., "Closed-End Country Funds and U.S.Market Sentiment" 8 : 879-918, 1995

      29 Errunza, V., "Can the Gains from International Diversification Be Achieved without Trading Abroad?" 54 : 2075-2107, 1999

      30 Roll, R, "An Empirical Investigation of the Arbitrage Pricing Theory" 20 : 1073-1103, 1986

      31 Turner,C.M.,R.Startz,and C.R.Nelson, "A Markov Model of Heteroskedasticity,Risk,and Learning in the Stock Market" 25 : 3-22, 1989

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      공동연구자 (7)

      유사연구자 (20) 활용도상위20명

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      학술지 이력

      학술지 이력
      연월일 이력구분 이력상세 등재구분
      2026 평가예정 재인증평가 신청대상 (재인증)
      2020-01-01 평가 등재학술지 유지 (재인증) KCI등재
      2017-01-01 평가 등재학술지 유지 (계속평가) KCI등재
      2014-01-14 학술지명변경 외국어명 : Korea Journal of Business Administration -> Korean Journal of Business Administration KCI등재
      2014-01-09 학술지명변경 외국어명 : 미등록 -> Korea Journal of Business Administration KCI등재
      2013-01-01 평가 등재 1차 FAIL (등재유지) KCI등재
      2010-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2008-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2005-05-30 학회명변경 영문명 : Daehan Association Of Business Administration Korea (Daba) -> DAEHAN Association of Business Administration, Korea (DABA) KCI등재
      2005-01-01 평가 등재학술지 선정 (등재후보2차) KCI등재
      2004-01-01 평가 등재후보 1차 PASS (등재후보1차) KCI등재후보
      2002-01-01 평가 등재후보학술지 선정 (신규평가) KCI등재후보
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      학술지 인용정보

      학술지 인용정보
      기준연도 WOS-KCI 통합IF(2년) KCIF(2년) KCIF(3년)
      2016 1.26 1.26 1.44
      KCIF(4년) KCIF(5년) 중심성지수(3년) 즉시성지수
      1.53 1.53 2.107 0.23
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