The Research For Discount Trading Of Chinese Closed-end Fund

At present, almost all the closed - end funds in China trade at discounts. This paper reviews foreign and Chinese discount theories and analyzes the discount phenomenon from market risk and arbitrage mechanism. It regards that the market systematic risk originated from the fund capital portfolio is the fundamental reason to explain the discount phenomenon. The discounts compensate this systematic risk. Immediate reason from this paper is the scarcity of the arbitrage mechanism. We can easily draw this conclusion when we compare the clsoed - end funds with the LOF (Listed Open-Ended Fund) and ETF ( Exchange Traded Fund ). The examination of this paper shows that market systematic risk put different effect on the discount level for small - size, medium - size and large - size closed - end funds. For the individial fund model including variable ( market risk, net asset value per unit, pre - term discount level, fund size and term ) can explain the discount completely. At the end of this paper it suggests that the further research on the haircut will help discern the discount level and the implement of arbitrage mechanism will short the discout level,...