A Study On The Discount Of Closed - End Funds In China

This study based on the "Anchoring-and-Adjustment Heuristic" theoretical framework, build a Jump-Markov regime-switching model. Jump-MRS model describes the long-term trend of closed-end fund discount ratio and with this model, this paper find common fund price anchor. People chose different strategy to adjust their investment in the closed end fund market around the price measured on their experience when they are in different state and people always stay in the current state with a high possibility.According to the information that investor grasped, investor was divided into two categories: type one Informed Investor, type two Lack Informed Investor. In the closed end fund market, common fund price anchor jump from one point level to another point level.Aiming to meet the research sample requirements, this paper picked 28 closed-end funds discount ratio data from January 1, 2005 to June 1, 2014.Using closed end fund net value as weight, calculate the close end fund discount ratio index. Using structural change method, find the discount ratio index has changed twice and result to five different mean levels. While in the two state switching progress, there is a conclusion that the front trading price has different effects on the later one in two different state. Besides, the value of transition probability matrix shows people will maintains one state and switch to another state in a small probability.