Abstract
This paper explores the determinant factors of the time-variation in emerging markets closed-end fund premiums, price returns, and NAV returns. After controlling for variables previously proposed in the emerging market closed-end funds literature, such as the U.S. stock market risk, local stock market return, and the percentage change in exchange rates, two hypothesis are used to explain the variation in fund premiums: the U.S. investor sentiment and the market segmentation theory. The results of the time-series analyses show that country funds, regional equity funds, and global bond funds are influenced quite differently by the suggested factors.
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