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Fluctuation of closed-end funds Empirical Study

Author: ZhuZhu
Tutor: LiuXiHua
School: Qingdao University
Course: Finance
Keywords: Closed-end funds GARCH Models Archimedean Copula functions fluctuating characters correlation
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 23
Quote: 1
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Abstract


Funds collect money form investors to invest in various financial assets. It plays the role of reducing the risk and stabilizing the return in theory. Security funds developed quickly in last 20 years, while the development of closed-end funds is much more slowly than that of open-end funds. Because of its special way of agency investment and fund management, closed-end funds have their own characteristics. The paper focus on analyzing the fluctuating characters of the closed-end funds price. It is helpful for regulators to make policy, and also to manage the risk of funds market. Then the funds markets could develop stable, continuously and healthy.This paper analyses the characteristics of the fluctuation of closed-end fund. First, it discusses the fluctuating features of closed-end fund indexes and various samples through the GARCH models. It finds that closed-end funds have the following characteristics: volatility clustering, leverage effect is not significant, long-term average recovery process. Second, by using of Archimedean Copula functions, we check how the stock indexes affect the fund indexes in bull market, bear market and the later sable period. It appears dynamic correlation between these indexes. Stock markets and closed-end funds markets tend to collapse at the same time in bear market, but not to prosperity both in bull market. The closed-end funds market of Shenzhen has low level of linkage with stock market, representing the better ability of closed-end funds to diversify market risk.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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