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基于金融市场不完全的结构分解,文章构建了一个涵盖市场交易费用、套利定价机制不完备程度和行为金融学因素的封闭式基金折价机理模型,分阶段计量分析发现:(1)普通交易成本因素影响基金折价约6.1%;(2)2007年前股指期货缺位因素导致基金折价约25.6%,之后随着股指期货的正式推出该影响显著下降;(3)市场套利定价机制不完备程度测度表明,该因素影响基金平均折价三个阶段分别为8.26%、5.87%和7.91%;(4)时期固定效应表明,有5个季度因投资者情绪相对乐观而降低了基金的平均折价率。
Based on the incomplete structural decomposition of financial markets, a closed-end fund discount mechanism model covering market transaction costs, incomplete arbitrage pricing mechanism and behavioral financial factors is constructed. The results of the phased measurement show that: (1) The common transaction cost factor Affecting the fund’s discount of about 6.1%; (2) the absence of stock index futures led to a discount of about 25.6% before 2007, after which the impact was significantly reduced with the formal introduction of stock index futures; (3) The degree of incompleteness of the market arbitrage pricing mechanism , Which affected the average discount of the fund in three stages, namely 8.26%, 5.87% and 7.91% respectively; (4) The fixed-term effect indicated that there were five quarters that the fund’s average discount rate was lowered due to the relatively optimistic investor sentiment.