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China Closed-end Fund Discount And Arbitrage Empirical Research

Posted on:2006-03-26Degree:MasterType:Thesis
Country:ChinaCandidate:Z Y FengFull Text:PDF
GTID:2156360152491424Subject:Business management
Abstract/Summary:PDF Full Text Request
The phenomenon of closed-end discount has ever long been an unexplainable puzzle in the financial market, for which the oversea scholars have made abundant theoretic and empirical analysis. Comparing with the oversea systemic research theories, the domestic research about closed-end fund discount has following obvious lacking points: on the one hand the history of our country closed-end fund market is short, and the data procurable are insufficient, therefore the analytic conclusions basing on the limited data are worth discussing; on the other hand, without analyzing the fitness in China security market, most domestic researchers straightly use the data of China market to validate the oversea discount explanative theories. Furthermore, the empirical methods also need more improvement.However, because of the special operation environment, China closed-end fund discount has its own characteristics different from that of foreign countries, which deserve further research. In order to make a systemic and comprehensive research on China closed-end fund discount phenomena ,and excavate the underlying factors which can explain China closed-end fund discount, this paper adopted a new research thought different from predecessors' and used the most comprehensive data at present to analyze China closed-end fund discount.Firstly, this paper analyzed the difference about the operation environment between domestic and oversea closed-end fund, and discovered the remarkable characteristics of domestic closed-end fund different from the oversea counterpart. Thus explaining China closed-end fund discount needs searching new factors from china security market not only applying the foreign theories mechanically.Then, this paper executed a series of statistical analysis on the characteristics of China closed-end fund since 1998. The result indicated that the type and time of setting up have remarkable influence on the discount characteristic: such as premium level when setting up, discount level and the time entering discount state. From time angle, the difference of discount level between different funds is very obvious before the end of 2002.From then on, the difference become slender and the sameness of these funds become obvious, But there is approximately average 3% difference between the new-set funds and the reconstructive ones.But the relation between the fund possessor structure, the investment style, the market condition and the fund discount level can not be discovered only by simple statistics. Through analysis of the fund time serial characteristics of fund discount level, it was found out that the fund discount level had a remarkable autocorrelation which becomes much smaller after the one-rank difference. This indicates that the fund discount level could be forecasted to a certain extent. But the variation couldn't be obviously forecasted. Furthermore discount correlation coefficient between the different funds was evident, which indicates that there exist common factor affecting the discount level of all funds in the market.In order to validate the explanative ability of the influencing factors found in above statistical analysis, this paper firstly validated the explanation ability of simplex factors in turn through eliminating the effect of other factors, and reached the conclusion: there are five factors which have the most prominent explanative ability: security market index, unit net value of fund, fund type, scale, the remnant length of maturity time. In the end, adopting the four factors (scale has great relativity with type, so getting rid of the factor of scale) and adding two other factors which is the average lagging of discount leveland dummy annual variable, with the panel data from 2001 to 2003, a universal discount level computing model was built up. The explanative ability of fund discount level of this model can reach above 80% level and the above six factors are very prominent under the confidential level of 1%.Finally, the paper designed an arbitrage strategy based on the discount level multi-factors ex...
Keywords/Search Tags:China closed-end fund, discount, empirical research, investment strat
PDF Full Text Request
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