金融市场不完全的理论分解与测度研究——基于中国封闭式基金折价的动态考察

Theoretical Decomposition and Measurement Study of Incomplete Financial Market:Dynamic Study Based on Close-end Fund Discount in China

基于金融市场不完全的结构分解,文章构建了一个涵盖市场交易费用、套利定价机制不完备程度和行为金融学因素的封闭式基金折价机理模型,分阶段计量分析发现:(1)普通交易成本因素影响基金折价约6.1%;(2)2007年前股指期货缺位因素导致基金折价约25.6%,之后随着股指期货的正式推出该影响显著下降;(3)市场套利定价机制不完备程度测度表明,该因素影响基金平均折价三个阶段分别为8.26%、5.87%和7.91%;(4)时期固定效应表明,有5个季度因投资者情绪相对乐观而降低了基金的平均折价率。

Based on structure decomposition of incomplete financial market, this paper establishes a mechanism model of closed-end fund discount including transaction costs, the incomplete degree of arbitrage pricing mechanism and behavioral financial factors. The results of quantitative analysis in different stages are shown as follows, firstly, common transaction costs result in 6. 1 percent of closed-end fund discount; secondly, the absence of stock index futures results in 25.6 percent of closed-end fund discount before 2007 and the effect is gradually weaker with the establishment of stock index futures; thirdly, the measurement of the incomplete degree of orbitrage pricing mechanism indicates that the imperfect arbitrage pricing mechanism results in 8. 26 percent, 5. 87 percent and 7. 91 percent of closed-end fund discount in three stages respectively; fourthly, the period fixed effect states that the close-end fund discount clearly declines in 5 quarters due to investors＇ relatively optimistic sentiment.