| 中国股市二级市场交易基金收益与交易成本的关系研究 |
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| 引用本文： | 边江泽,赵震宇.中国股市二级市场交易基金收益与交易成本的关系研究[J].数理统计与管理,2011,30(5):930-941. |
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| 作者姓名： | 边江泽 赵震宇 |
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| 作者单位： | 1. 对外经济贸易大学金融学院,北京,100029
2. 万科集团,广东深圳,518083 |
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| 基金项目： | 对外经济贸易大学学术创新团队资助项目和对外经济贸易大学‘211工程'三期建设项目资助 |
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| 摘 要： | 本文以中国二级市场上交易的封闭式基金、交易所开放式指数基金(ETF)、和上市型开放式基金(LOF)为例,借助微观市场结构的模型,分析基金自身的交易成本和收益之间的关系。本文证明2006年7月的基金改制事件提高了基金市场有效性。具体表现在这些基金的交易成本与相应时段内代表公司经营能力的累积净值和市场回报间存在显著的正相关关系。但与经典金融理论不同的是,我国二级市场交易基金(主要是封闭式基金)的交易成本和业绩波动率呈负相关的关系。本文认为这说明在我国封闭式基金市场存在"炒作"现象。最后,本文基于实证结果给出了一些政策上的建议。
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| 关 键 词： | 封闭式基金 交易成本 基金收益 市场微观结构 |
The Study on the Relationship between Returns and Transaction Costs of Funds Traded in Chinese Secondary Markets |
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| BIAN Jiang-ze ZHAO Zhen-yu.The Study on the Relationship between Returns and Transaction Costs of Funds Traded in Chinese Secondary Markets[J].Application of Statistics and Management,2011,30(5):930-941. |
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| Authors: | BIAN Jiang-ze ZHAO Zhen-yu |
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| Institution: | BIAN Jiang-ze~1 ZHAO Zhen-yu~2 (1.School of Banking and Finance,University of International Business and Economics,Beijing 100029,China,2.Vanke Group,Guangdong Shenzhen 518083,China) |
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| Abstract: | In this paper,we study funds traded in the secondary market in China,which include close-end funds,exchange-traded funds(ETF),and listed open-ended funds(LOF).Borrowing from market microstructure models,we analyze the relationship between the transaction costs and returns of those funds.We show that the Fund market Regulation change took place in July 2006 has improved the efficiency of this market,in that the transaction costs of those exchange-traded funds have been significantly positively related to the... |
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| Keywords: | close-end funds transaction costs funds returns market microstructure |
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