中国封闭式基金折价问题实证研究  

An Empirical Analysis of Closed fund Discounts in China

作　　者：金晓斌[1] 高道德[1] 石建民[1] 刘红忠[2] 

机构地区：[1]海通证券研究所 [2]复旦大学国际金融系

出　　处：《中国社会科学》2002年第5期55-65,共11页Social Sciences in China

摘　　要：本文首先对中国证券投资基金折价现象进行统计分布特征以及时间序列的特征分析 ,在此基础上 ,运用多变量逐步回归分析的方法 ,分析影响我国基金折价率大小的具体因素。文章还运用EGARCH模型 ,通过对比不同基金或同一基金不同时期的折价率和基金重仓股票组合变现能力 ,分析重仓股票变现能力与基金折价的关系。根据以上分析结果 ,文章提出以下政策建议 :(一 )通过合理分散投资、定量分析资产变现能力、把握与大盘的关系、完善投资者结构等手段 ,加强开放式基金的流动性管理 ;(二 )通过投资集中度而不是目前普遍采用的持股集中度指标来判断基金流动性 ,指导基金的投资 ;(三 )监管部门应完善基金投资集中度和投资组合等信息的披露。In the paper, we firstly investigate closed end fund discounts in China markets through a descriptive statistical analysis. We find that the fund discounts are generally one order difference stationary and vary with fund issue time stock market indexes and dividend expectation. On the basis of these observations, a multivariate stepwise regression analysis reveals that fund sizes, issue times, dividends and investment concentrations have significant influences on the levels of fund discounts. Further, an EGARCH analysis shows that the levels of fund discounts have a reverse relation with the liquidity of shares hold by the funds. Based on the above results, the paper has conclusions and suggestions as follows: (1)The closed fund discounts are useful for open end fund liquidity management; (2)Closed end fund investors should judge fund liquidity by its investment concentrations and not by its stock concentrations; (3) Supervisors can take effective measures to promote information disclosure of fund portfolios, open end conversions of closed end funds and restrict yield manipulations of fund manager.

关 键 词：中国 封闭式基金 折价 实证研究 股票实现能力 影响因素 回归分析 EGARCH模型 

分 类 号：F832.5[经济管理—金融学]