探析我国封闭式基金折价之谜——基于行为金融学的实证研究

封闭式基金的折价是各国基金市场普遍存在的一种现象，而我国封闭式基金折价问题与国外相比更加严重。本文基于我国18只封闭式基金从上市起至2013年的折价率、基金业绩等相关数据，运用Johansen协整检验和建立面板数据随机效应模型等方法进行检验分析，证明了噪声交易者的趋同交易行为是导致不同基金折价率曲线高度一致的原因，而投资者情绪是导致在基金市场繁荣交易时折价率大幅缩减的重要原因，从而验证了行为金融学关于封闭式基金折价之谜的观点，即噪声交易者风险的存在是基金折价交易的原因，为我国基金业的健康发展和投资者情绪的指标及运作机理研究提供一些参考。

Study of EU ETS from the Perspective of Market Efficiency --Based on Granger Causality Test of EUA and CER

At present, the issue of carbon dioxide emission has become one of the main topics for discussion in international community, and EU ETS is the most active market of carbon emission trading in the world. Based on an empirical study of price discovery function of EUA futures and Granger causality between EUA futures and CER futures, it finds that price discovery function of EUA futures is relatively good in the first and the second phases while from the beginning of the third phase, this function is less obvious because of the uncertainty of policy and the decrease of restraint; there is obvious friction and obstruction between EUA market and CER market in EU ETS; and companies bearing emission reduction responsibility cannot attain their goals by freely choosing appropriate contract with suitable price.