中国封闭式基金折价是投资者情绪的良好指标吗  

Are the Discounts on Closed-end-Funds a Good Sentiment Indicator?

作　　者：刘雷[1] 

机构地区：[1]西南民族大学,四川成都610000

出　　处：《贵州财经大学学报》2013年第5期24-33,共10页Journal of Guizhou University of Finance and Economics

摘　　要：投资者情绪是行为金融近年来的研究热点之一。本文从描述统计、趋同性、波动性三个方面直接证实一直存续未满期基金折价表现出明显的一致性,折价率的动态变化以投资者情绪为主导。接着构建投资者情绪指数,并分析指数同分组指数收益率的关系,间接表明了一直存续的基金折价变动是度量投资者情绪的一个很好的代表性指标。Investor sentiment is one of the highlights in the behavioral finance in recent years. After analysing three aspects of descriptive statistic, consistency and volatility, we find that the discounts on closed- end- funds （CEFs） , which has been surviving, showed obvious consistency and the dynamic changes of the discounts are dominated by investor sentiment. Then we build an investor sentiment index and analyse the relationship between index and group - stoek index, we prove that the discounts on surviving CEFs are a good representative indieator of investor sentiment.

关 键 词：封闭式基金 投资者情绪 波动 指标 

分 类 号：F830[经济管理—金融学]