| A New Mean Reversion Model of Close-End Fund |
| |
| 作者姓名： | LIU Wei |
| |
| 作者单位： | School of Management, Huazhong University of Science and Technology, Wuhan 430074, Hubei, China |
| |
| 基金项目： | Supported by Chenguang Plan Project of Science and Technology Bureau in Wuhan （20065004116-11） |
| |
| 摘 要： | On the basis of fractal theory, one of the nonlinear theories, this paper studies the validity of Chinese fund market fractal time sequence through Hurst exponent, calculates the H value and proposes a new close-end fund mean reversion model. Meanwhile, this paper validates the mean reversion time sequence for consecutive 54 week data of fund market. The result indicates that this model can effectively prove that Chinese close-end fund market follows the biased random walk. The research also proves that the fund discount does have mean reversion tendency and averagely the fund with high discount has a higher excess yield than that of the fund with low discount. The mean excess yield and the ratio between discount rate deviation and standard deviation demonstrate a descending relationship. The optimum investment period based on ＂mean reversion＂ is one month. Consequently this model provides a new arbitrage method through the discount of close-end fund.
|
| 关 键 词： | 封闭式基金 均值复归模型 套利交易 机会 |
| 文章编号： | 1007-1202（2007）03-0447-05 |
| 收稿时间： | 28 October 2006 |
| 修稿时间： | 2006-10-28 |
A new mean reversion model of close-end fund |
| |
| LIU Wei.A New Mean Reversion Model of Close-End Fund[J].Wuhan University Journal of Natural Sciences,2007,12(3):447-451. |
| |
| Authors: | Wei Liu |
| |
| Institution: | (1) School of Management, Huazhong University of Science and Technology, Wuhan, 430074, Hubei, China |
| |
| Abstract: | On the basis of fractal theory, one of the nonlinear theories, this paper studies the validity of Chinese fund market fractal
time sequence through Hurst exponent, calculates the H value and proposes a new close-end fund mean reversion model. Meanwhile, this paper validates the mean reversion time sequence
for consecutive 54 week data of fund market. The result indicates that this model can effectively prove that Chinese close-end
fund market follows the biased random walk. The research also proves that the fund discount does have mean reversion tendency
and averagely the fund with high discount has a higher excess yield than that of the fund with low discount. The mean excess
yield and the ratio between discount rate deviation and standard deviation demonstrate a descending relationship. The optimum
investment period based on “mean reversion” is one month. Consequently this model provides a new arbitrage method through
the discount of close-end fund.
Biography: LIU Wei(1973–), female, Lecturer, Ph.D., research direction: investment and decision-making, financial market, portfolio
analysis. |
| |
| Keywords: | close-end fund Hurst exponent mean reversion model arbitrage opportunity |
| 本文献已被 CNKI 维普 SpringerLink 等数据库收录！ |
|
