机构地区: 广州大学
出 处: 《商业研究》 2004年第19期18-20,共3页
摘 要: 封闭式基金折价是近几年来国内金融界研究的热点问题。研究封闭式基金折价与基金未来收益之间的动态关系 ,并用GARCH ( 1 ,1 )模型分析基金折价与基金未来收益波动性之间的关系。实证分析表明 :基金折价变化与基金未来收益变化正相关 ; This paper mainly studies the relationship the Closed-End Funds discount and future funds price return,and the relationship between Closed-End Funds discount and Future Funds Price Return volatility by making use of GARCH(1,1)model. The empirical study shows that to the variety of Closed-End funds discount is positive correlation to the variety of future fund price return.Furthermore the Closed-End funds discount can interpret or alleviate the persistence of volatility to the Closed-End funds return.
领 域: [经济管理]