The Closed-end Fund Market Cointegration And Price Volatility Of The Empirical Analysis

The securities investment fund has become the important financial tool in the money market at present, and has had the intense influence and the impact to the various countries' money market and the economic system. Our country's securities investment fund also obtained the fast development in recent years, and appeared many kinds of investments style type.The thesis mainly studies the co-integration and volatility of price 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. Co-integration theory and autoregressive conditional heteroskedasticity(ARCH) model excelling the traditional models are shown soon. Then, it conducts the stationary test and research the correlation of closed-end securities investment fund market between Shanghai and Shenzhen by means of co-integration 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 long term equilibrium relationship between the two closed-end fund indices is dependent on the research window. The co-integration relation between the Shanghai and Shenzhen fund market indices only existed in the bull market and vanished in the bear market. The two fund markets fluctuate together in the bull market. 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".