影响封闭式基金定价的因素1分析.docx

1、影响封闭式基金定价的因素1分析影响封闭式基金定价的因素分析论文成员：陶露露，喻昭阳，夏雨潇一.问题的提出随着证券市场的逐步发展,我国机构投资者(包括基金管理公司、保险公司、证券公司、投资信托公司等)在我国证券市场上的发展非常迅速,虽然市场份额占有率与发达国家相比还有很大的差距,但已然成为影响证券市场波动变化的一个重要因素,因此证券投资基金的波动也引起了各方的广泛关注。封闭式基金进入我国的时间较早,发展也相对成熟。在经历过繁荣、衰退后,封闭式基金现在又重新回到人们的视野。但是大量的研究发现，封闭式基金单位份额交易的价格不等于其净资产现值，并且折价交易是一种普遍的现象。这与有效市场假设互相矛盾的价

2、格表现，本文的研究和探索是希望能够找到影响封闭式基金价格波动的影响因素，并从中分离出最主要的成分,从而帮助投资者决策和规避风险,同时帮助决策者进行政策的制定和市场的调控。封闭式基金上市后，其交易价格主要受下列因素的影响:1、 基金单位的资产净值。这是基金交易价格的价值基础，基金的交易价格就以基金单位的资产净值为中心上下波动。2、基金的供求关系。因为封闭式基金的发行单位有限，投资者对基金单位的需求有可能超过或者低于市场的供应量，会因此导致基金交易价格的溢价或者折价。3、市场的异常因素。如投资者对基金的不正确认识和人为的炒作，都有可能造成基金价格的上下波动。而市场的异常因素较为复杂，无法用具体的变

3、量来解释，故本论文选择用基金指数来代替市场因素以及基金的供求关系对基金的交易价格的影响。二.研究设计根据经济意义，基金的交易价格主要受基金单位的资产净值影响，其次，用基金指数代替市场的不确定因素来分析对基金交易价格的影响。1.模型形式的设定被解释变量：Y基金价格解释变量：X2基金单位净值 X3基金指数Y=1+2X2+3X3+u2.数据的收集本文收集了从2008-9-5至2012-9-7，以一周为时间单位的一只基金的收盘价格，基金单位净值，该基金为基金泰和，源自上交所。还有来自上交所的上证基金指数。500002基金价格单位净值基金指数日期YX2X32008-9-50.3830.7262902.2

4、62008-9-120.3590.6972760.012008-9-190.3770.7112785.082008-9-260.4260.7462939.882008-10-100.3740.6592579.52008-10-170.3040.6242431.962008-10-240.310.6332392.52008-10-310.2840.6212281.482008-11-70.3010.622348.452008-11-140.3440.692630.392008-11-210.310.6952524.322008-11-280.2840.6782408.422008-12-50.3

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