摘要
在构造中国封闭式基金价格指数和资产净值指数的基础上,首先使用协整检验和误差修正模型证明2001年1月到2002年12月封闭式基金价格和资产净值NAV之间存在长期均衡关系,然后利用脉冲响应函数和方差分解技术揭示了基金价格和资产净值之间的短期动态关系,即基金价格受到资产净值的约束。
By constructing the indexes of prices and net asset values (NAVs) of closedend funds in China,this paper investigates the dynamic interaction between prices and NAVs of closedend funds in China.Cointegration test and error correction model confirm that there is a longrun equilibrium between prices and NAVs of closedend funds in China.The impulse response function and variance decomposition analysis show that the NAVs constrains the prices of closedend funds in China.These results may be helpful in explaining the closedend fund discounts in China.
出处
《武汉科技大学学报》
CAS
2003年第3期327-330,共4页
Journal of Wuhan University of Science and Technology
基金
国家社会科学基金资助项目(01BJL012)
关键词
封闭式基金
向量自回归模型
协整
误差修正模型
脉冲响应函数
方差分解
closed-end fund
VAR model
cointegration
error correction model
impulse response function
variance decomposition
