我国封闭式基金折价率均值回归与投资策略分析

为了探讨我国封闭式基金折价率的均值回归性质对基金投资者投资策略的影响,本文通过对封闭式基金价格与净值的协整分析,以及折价率均值回归检验,证实了我国封闭式基金价格与净值的变动之间不存在长期稳定关系;进一步,我国封闭式基金折价率不具有均值回归性质,而呈现明显的持续性特征。上述结果表明试图利用折价率指标进行套利的活动并不能为投资者带来确切的收益。

Mean-reversion Analysis of Closed-end Fund Discount and Investment Strategy

To explore the mean-reversion property of closed-end fund discount in China,this article conducts co-integration analysis of the price and net value of closed-end fund and carries out a mean-reversion test.The result indicates that there is not a long-run stable relationship between the net value and price of close-end fund.Furthermore,the discount of China's close-end fund possesses the consistency property rather than mean-reversion property.Thus it is proved that the discount-based strategy,investing at funds and selling at a high discount,will not bring definite mean abnormal return for investors.