投资者情绪能解释我国封闭式基金IPO后的交易异常吗——基于传统型与创新型封闭式基金的对比研究  

Can Investor Sentiment Explain Abnormal Trading after Closed-end Funds IPO:Basing on the traditional and innovative Closed-end funds Analytics

作　　者：陈莹[1] 魏巍烽 

机构地区：[1]深圳大学经济学院

出　　处：《南方经济》2015年第4期43-60,共18页South China Journal of Economics

基　　金：广东省自然科学基金"信息冲击条件下的期权定价模型"(S2011040003193)的资助

摘　　要：本文选取34只传统型封闭式基金和45只创新型封闭式基金的数据,对两者IPO后出现的异常交易现象进行对比分析。结果显示:传统型封闭式基金IPO后,投资者对基金的关注度高涨,基金需求增加,推动基金IPO后溢价交易。随着投资者乐观情绪的减弱,对基金需求大幅降低,后期则出现持续的折价交易。投资者情绪能较好地解释传统型封闭式基金IPO后的交易异常现象。而创新型封闭式基金IPO后的交易异常情况无法由投资者情绪理论解释,因此不应直接将我国封闭式基金折价作为衡量投资者情绪的间接指标。This paper collects 34 traditional and 45 innovative closed - end funds＇ data respectively issued during the period of 2000 - 2002 and 2007 - 2012. Combined with the indicators of investor sentiment, the paper analyses empirically the abnormal trading after IPO respectively. The empirical results show that： after the traditional closed -end funds IPOs, some investors increase their interest and enthusiasm on the fund. So the demand for the funds share is increasing. That promotes the fund to trade at a premium after the IPO. As the investors sentiment optimism decay, the demand for the funds share reduces. It leads to trade at a discount longer. Then investor sentiment theory can explain the traditional closed - end funds after the IPO anomalies trading. However, innovative closed - end funds transaction anomalies can＇ t be explained by the investors＇sentiment theory. Therefore it has a problem to be the indirect indicator of investor＇ s emotion by using the discount of closed - end funds directly.

关 键 词：投资者情绪 传统型封闭式基金 创新型封闭式基金 首次公开发行 

分 类 号：F830.59[经济管理—金融学]