中国封闭式基金市场协整性和价格波动性的实证分析

【作者】 刘文芳；

【导师】 朱灏；

【作者基本信息】 中南大学 ， 数量经济学， 2008， 硕士

【摘要】 证券投资基金目前已成为金融市场中重要的金融工具和金融资产的主要表现形式,并对各国的金融市场和经济体系产生了强烈的影响和冲击。我国证券投资基金近年来也得到了快速发展,对金融和经济的影响也越来越大。本文主要对封闭式基金市场的协整性和价格波动性进行研究。文中,首先回顾了封闭式基金风险研究的理论与方法,引出了超越传统模型的协整理论与自回归条件异方差模型:接着,基于国内基金市场迅速发展的现实,分别对上证基金指数和深市基金指数在熊市和牛市期间进行了协整分析,以研究它们之间的长期均衡关系。然后,利用自回归条件异方差模型系统研究了我国封闭式基金市场的价格波动特性,分析了基金市场的风险特征。最后,对由实证分析得出的结论进行了总结,从不同角度提出了建议,并对以后的研究方法提出改进。通过实证研究,本文得出的主要结论有:上海和深圳两个封闭式基金指数之间的长期均衡关系的存在依赖于考察的时间段:熊市当中两市封闭式基金整体表现存在差异,不存在协整关系:但在牛市当中,两个封闭式基金指数之间存在协整关系,表现出同涨同跌的特征。基金市场的价格波动具有集群性:基金收益率不服从正态分布,存在显著的尖峰厚尾特性,我国基金市场还不是有效市场:基金市场的价格波动存在杠杆效应:基金收益率没有显著的风险溢价效应,没有体现出高风险高回报、低风险低回报的特征。更多还原

【Abstract】 The securities investment fund has become the important financial tool in the money market at present, and has had the intense influence and the impact to the various countries’ money market and the economic system. Our country’s securities investment fund also obtained the fast development in recent years, and appeared many kinds of investments style type.The thesis mainly studies the co-integration and volatility of price in closed-end securities investment fund market. In this thesis, the theories and methods of risk research on closed-end securities investment fund are discussed firstly. Co-integration theory and autoregressive conditional heteroskedasticity(ARCH) model excelling the traditional models are shown soon. Then, it conducts the stationary test and research the correlation of closed-end securities investment fund market between Shanghai and Shenzhen by means of co-integration analysis. Then, it studies the characteristic of price volatility and risk in closed-end securities investment fund market by use of ARCH models. In the end, some conclusions which are derived from empirical analysis can be acquired. The thesis gives some advice on the development of closed-end securities investment fund from points of view.According to the empirical study, the main results of this thesis are as follows: The long term equilibrium relationship between the two closed-end fund indices is dependent on the research window. The co-integration relation between the Shanghai and Shenzhen fund market indices only existed in the bull market and vanished in the bear market. The two fund markets fluctuate together in the bull market. The price volatility of fund market has a characteristic of volatility clustering. The return of fund is disobedient normally distribution and has obvious peak and fat tail. The fund market of China is not efficient totally. The price volatility of fund market has a characteristic of leverage effect. The return of fund has not obvious risk premium effect and has does not show the characteristic of "high risk ,high return".更多还原