我国封闭式基金之谜实证研究  

Empirical Study of Mystery of Closed-end Fund in China

作　　者：洪如明[1] 

机构地区：[1]广发华福证券研究发展中心

出　　处：《证券市场导报》2004年第5期21-26,共6页Securities Market Herald

摘　　要：我们认为,动量交易策略和基金流动性都是我国封闭式基金折价交易的影响因素之一,但两者都只是影响我国封闭式基金折价交易问题的"扰动项"因素。投资者心态变化以及噪音交易风险很可能是我国封闭式基金折价交易的主导性因素。Mystery of closed-end fund refers to their trading below net asset. We have been trying to disclose this mystery. With tests of its discount rate, trading strategy, liquidity and investor psychology, we believe that lack of liquidity in mutual fund portfolio as well as momentum trading strategy and liquidity problem of mutual funds themselves are some of the factors leading to the discount of closed-end funds in China. However, only the hypothesis of investor psychology can explain this phenomenon completely.

关 键 词：封闭式基金 中国 折价交易 噪音交易风险 证券市场 投资者心态假说 证券投资基金 

分 类 号：F832.39[经济管理—金融学] F832.51