封闭式基金净值与价格的因果性和协整分析

Analysis on Causality & Co-integration of NAV and Share Prices of Chinese Closed-end Fund

研究表明,绝大多数封闭式基金净值与价格之间不存在协整关系。这说明基金的折价率不是均值回归的,所以认为基金价格必然向其内在价值回归是不正确的,试图要从封闭式基金的折价率中套利的行为未必可取。

Currently Chinese closed-end funds are traded at huge discount, an average of about 20%.The reason behind it remains a puzzle for behavior financialindustry. This paper applies Granger causality and co-integration into the empirical studies of this puzzle. The results indicate that Granger causality explains a lot, namely value-led share prices, while no co-integration applies in NAV versus shares prices. This methodology opens a new window for us to probe into the puzzle.