| Innovation has been the source power for the development of the fund industry, from closed-end equity to open-end equity, from stock type to bond and currency type, from active management to passive management. The innovation of fund investment products emerge in an endless stream. The classification fund has emerged as the times require with the innovation trend to fill the gaps of leverage investment tools in our fund market. As a very important innovation of fund market, the birth of classification funds provides more detailed risk benefit demand to investors, promotes optimal allocation of assets and has positive effect on increasing the whole issue size of fund industry. Not only enlarge income through leverage, but also use the discount and premium rate to form arbitrage. However like a double-edged sword, it has a very active price fluctuation,(for example, it might be explosive increase of several decades within a few trading days, meanwhile it might suddenly drop. Especially for the investors who like investing premium share rather than discount share, preference following others will get a huge loss. Based on the premise of deep understanding of classification funds, grasping the factors affecting classification funds discount and premium rate can help us avoid blindly following the trend and make a rational investment. Therefore, to explore the factors influencing the Chinese classification funds discount and premium changes and influence degree of each factor is necessary.Due to the lack of domestic researches on classification funds discount and premium rate but a lot of relatively similar researches on discount of closed-end fund, the literature review was summarized by a combination of the closed-end fund and classification funds. Based on the summarization of research reports and related books on relevant classification funds, the definition and classification of classification funds were described, and the characteristics and advantages were comprehensively summarized. Through reviewing the development process of China’s classification funds, the features of our classification funds discount or premium were summarized and described. Based on the above study, the factors affecting classification funds discount and premium changes, as well as from designing,pricing and other aspects were investigated to deeply analyze the fund industry from a theoretical point of view. Based on the presented theoretical results the data availability and factor quantification, five factors were selected, i.e., the leverage ratio, conversion provisions, fund cost, product liquidity and market index of these five effects to develop a regression model of panel data. The influential factors of China’s classification funds discount and premium rate were examined empirically, according to the present situation of classification funds market,to arise the inspiration for development of classification funds in the future.Finally, the positive / negative correlation between five effect factors and discount or premium rate, even the correlation degree were obtained. Among them, the market index is the most important, and the second is conversion provisions. Either of the factors is positively correlated with discount or premium rate of overall and progressive share, but opposite to preferred share. Based on the study, the development, of classification funds in the future should introduce a market maker system, participate in margin financing business, improve the stock index futures, early realize the T+0 transaction mode, improve the classification products homogeneous and the market investment environmental for the purpose of promoting China capital market prosperity. |
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