Correlation And Price Volatility On Closed-end Securities Investment Fund Market In China

As one of the largest institutional investors in securities market, securities investment fund has influenced securities market in larger scale by means of advanced principle and operating methods. As an important part of securities investment fund, closed-end securities investment fund still has long-standing value and rationality in despite of the decrease of market share.The thesis mainly studies the correlation of price volatility between closed-end securities investment fund market and stock market, the characteristic of price volatility in closed-end securities investment fund market. In this thesis, the theories and methods of risk research on closed-end securities investment fund are discussed firstly. Cointegration theory and autoregressive conditional heteroskedasticity(ARCH) model excelling the traditional models are shown soon. Then, it conducts the stationarity test and studies the correlation of closed-end securities investment fund market and stock market in Shanghai Stock Exchange, the two in Shenzhen Stock Exchange, Zhongxin fund index and S&P300 index by means of cointegration analysis. Then, it studies the characteristic of price volatility and risk in closed-end securities investment fund market by use of ARCH models. In the end, Some conclusions which are derived from empirical analysis can be acquired. The thesis gives some advice on the development of closed-end securities investment fund from points of view.According to the empirical study, the main results of this thesis are as follows: The price volatility between fund market and stock market has a characteristic of positive correlation and mutual transmission. Long-term stability relation exits. The price volatility between fund markets has a weak mutual transmission and no long-term stability relation. The price volatility of fund market has a characteristic of volatility clustering. The return of fund is disobedient normally distribution and has obvious peak and fat tail. The fund market of China is not efficient totally. The price volatility of fund market has a characteristic of leverage effect. The return of fund has not obvious risk premium effect and has does not show the characteristic of "high risk, high return ".