COMPLEX BUBBLE PERSISTENCE IN CLOSED-END COUNTRY FUNDS

We seek to resolve the 'misspecified fundamental' problem in speculati ve bubbles through examining the behavior of closed-end country funds which possess well-defined fundamentals based on their net asset value s. We study six funds during an episode when large premia emerged and subsequently disappeared. We apply rescaled range and regime switching tests which reject the 'no bubble' null hypothesis for these premia. These results are placed in a complex bubble model framework interpret able according to the 'Big Player' model.