基金折价与基金未来收益波动性的动态关系研究  

The Study of Dynamic Relationship Among Closed-End Funds Discount,Future Price Return and Future Price Return Volatility

作　　者：陆庆松[1] 杨辉耀[1] 黄向阳[1] 

机构地区：[1]广州大学数量经济研究所,广东广州510405

出　　处：《商业研究》2004年第19期18-20,共3页Commercial Research

摘　　要：封闭式基金折价是近几年来国内金融界研究的热点问题。研究封闭式基金折价与基金未来收益之间的动态关系 ,并用GARCH ( 1 ,1 )模型分析基金折价与基金未来收益波动性之间的关系。实证分析表明 :基金折价变化与基金未来收益变化正相关 ;This paper mainly studies the relationship the Closed-End Funds discount and future funds price return,and the relationship between Closed-End Funds discount and Future Funds Price Return volatility by making use of GARCH(1,1)model. The empirical study shows that to the variety of Closed-End funds discount is positive correlation to the variety of future fund price return.Furthermore the Closed-End funds discount can interpret or alleviate the persistence of volatility to the Closed-End funds return.

关 键 词：封闭式基金 折价 GARCH(1 1)模型 

分 类 号：F224.9[经济管理—国民经济]