基于噪声交易理论的中国封闭式基金折价研究

发布时间：2018-03-16 18:39

本文选题：封闭式基金　切入点：折价率　出处：《西北大学》2014年硕士论文　论文类型：学位论文

【摘要】：封闭式基金份额的交易价格通常偏离其资产价值,而且绝大多数时候价格小于资产净值,这一现象最早是在针对美国金融市场的研究中发现的,被称为封闭式基金折价之谜。封闭式基金的折价之谜是著名的金融异象之一,从封闭式基金折价现象被发现以来,国内外很多学者从多个方面展开了研究,对于封闭式基金折价的原因至今众说纷纭,直到目前还没有任何一种解释被广为接受。随着国内资本市场的快速发展,我国封闭式基金已经颇具规模,但是我国的封闭式基金也存在着折价现象,并且折价和波动的幅度远高于国外的平均水平。对此,国内学者也给出了各种各样的解释,目前依然没有得到一个统一的答案。本文在归纳了封闭式基金折价理论和已有相关研究成果的基础上,从行为金融理论的角度出发,基于投资者噪声交易理论来解释我国封闭式基金折价之谜。文章首先建立理论模型,把投资者分为理性投资者和噪声交易者,理性投资者不仅仅面临其投资的封闭式基金组合的风险,还有由于噪声交易者的噪声交易行为所产生的额外风险,那么理性投资者需要更高的报酬来补偿其所面临的噪声交易风险,从而导致封闭式基金折价。随后本文选择采用封闭式基金的周振幅为噪声交易的替代指标来对封闭式基金的折价原因进行实证研究,因为非理性的噪声交易会造成封闭式基金价格的非理性波动,周振幅能直接的反映出封闭式基金价格的波动程度。通过采用面板数据实证检验我国封闭式基金折价与噪声交易之间的关系,实证结果显示我国封闭式基金折价与周振幅呈负相关,即表明我国封闭式基金折价主要受到噪声交易的影响。在分析和总结封闭式基金折价原因的基础上,文章对我国封闭式基金的发展提出了相关的政策建议,其中包括基金监管机构的改进建议、基金管理公司改善治理的建议以及对投资者梳理正确投资理念的相关建议。
[Abstract]:The trading price of a closed-end fund's share usually deviates from its asset value, and most of the time the price is less than its net worth, a phenomenon that was first discovered in a study of US financial markets. The riddle of closed-end fund discount is one of the famous financial anomalies. Since the phenomenon of closed-end fund discount has been discovered, many scholars at home and abroad have carried out research from many aspects. There are various opinions about the reasons for the discount of closed-end funds, but until now no explanation has been widely accepted. With the rapid development of the domestic capital market, the closed-end funds in our country have taken on a fairly large scale. However, there is a phenomenon of discount in closed-end funds in our country, and the range of discount and fluctuation is much higher than the average level of foreign countries. For this reason, domestic scholars have also given various explanations, and still have not got a unified answer. Based on the conclusion of closed-end fund discount theory and related research results, this paper starts from the perspective of behavioral finance theory. Based on the theory of investor noise trading, this paper explains the riddle of closed-end fund discount in China. Firstly, this paper establishes a theoretical model to divide investors into rational investors and noise traders. Rational investors are exposed not only to the risk of their closed-end fund portfolios, but also to the additional risks arising from the noise-trading behaviour of noise traders. Then rational investors need higher returns to compensate for the noise trading risks they face. Then this paper chooses the weekly amplitude of closed-end fund as the alternative index of noise trading to make an empirical study on the reason of closed-end fund discount. Because irrational noise trading can cause irrational fluctuations in the prices of closed-end funds, The weekly amplitude can directly reflect the fluctuation degree of closed-end fund price. By using panel data to test the relationship between closed-end fund discount and noise trading. The empirical results show that the discount of closed-end funds in China is negatively correlated with the weekly amplitude, that is, the discount of closed-end funds in China is mainly affected by noise trading. This paper puts forward some relevant policy suggestions for the development of closed-end funds in China, including the improvement of fund supervision agencies, the improvement of governance of fund management companies, and the relevant suggestions for investors to sort out the correct investment ideas.
【学位授予单位】：西北大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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