Exploiting International Stock Market Correlations with Open-end International Mutual Funds

Authors: Bhargava R.¹; Bose A.²; Dubofsky D.A.³

Source: Journal of Business Finance & Accounting, Volume 25, Number 5-6, June 1998 , pp. 765-773(9)

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Abstract:

Investors can exploit the correlations between international stock markets by trading no-load, open-end, international mutual funds. These investors in effect cheat passive investors because they buy the mutual funds at their net asset values, which do not reflect information released during the US trading day. The strategy we examine yields an annual rate of return 800 basis points above the S&P500, over a period of almost eight years.

Keywords: mutual funds; international stock market correlations; stock market efficiency; equity trading strategies; stock market volatility

Language: English

Document Type: Research article

Affiliations: 1: Department of Managerrial Sciences, College of Business Administration, University of Nevada, Reno 2: Natural Gas Clearinghouse, Houston 3: Department of Finance, Insurance and Real Estate, Virginia Commonwealth University

Publication date: 1998-06-01