我国分级基金折溢价率影响因素的实证研究

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3.0 赵德峰 2024-11-19 4 4 1.97MB 76 页 15积分

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摘要

我国的基金市场一直缺乏杠杆型的投资产品，而分级基金的诞生恰好填补了

这一空白，作为基金市场非常重要的一个创新，它不仅满足了投资者更为细致的

风险和收益需求，还对促进资产的优化配置和提高基金行业的整体发行规模均有

积极作用。分级基金的魅力不仅在于通过杠杆放大收益，还可以利用折溢价率进

行套利。但是分级基金是一把双刃剑，因为其交易价格的波动十分活泼，常常在

一个星期之内就突发性上涨，也可能没有预兆的忽然下跌。尤其对于那些“买涨

不买跌”的投资者来说可能会造成巨大的损失。所以，只有在深入了解分级基金

特性的前提下，进一步掌握分级基金折溢价变动的影响因素，才能够避免盲目跟

风，做到理性投资。在此背景下，探讨影响我国分级基金折溢价变化的因素有哪

些，以及各因素的影响情况如何是至关重要的。

国内对分级基金折溢价率影响因素方面的研究较少，但探讨封闭式基金折价

原因的研究非常多。首先，本文结合了学界对封闭式基金和分级基金的研究进行

了文献综述。通过阅读大量有关分级基金的研究报告和相关书籍，概述了分级基

金的定义和分类，并对其特征和优势进行了全面的归纳。再根据对我国分级基金

成长历程的回顾，描述了我国分级基金折溢价的历史表现特征。其次，从设计方

面、定价方面和其他方面对影响分级基金折溢价率变化的因素进行了深入的探讨。

根据分析的结果，并基于影响因素的可量化性和数据的可得性，选取了杠杆率、

折算条款、资金成本、产品流动性和大盘指数这五个影响因素。最后，采用面板

数据的回归模型，对这五个影响因素进行了进一步的实证研究。本文试图结合我

国的基金市场环境，运用所掌握的金融知识，通过理论和实证相结合的分析方法，

为投资者揭开分级基金折溢价率变化的神秘面纱。

基于前文的分析，得到了五个影响因素与折溢价率的正/负相关性，以及影响

情况。其中，大盘指数的影响程度最大，向下到点折算次之，且各影响因素对整

体折溢价率和进取份额折溢价率的作用方向一致，对优先份额折溢价率的作用方

向相反。在上述实证结论的基础上，提出在分级基金未来的发展中，应该通过引

入做市商制度、参与融资融券业务、完善股票指数期货、早日实现 T+0 交易模式、

改善分级产品的同质化以及完善市场投资环境等举措，推动中国的基金市场走向

繁荣。本文的创新点，一是经过对目前市场上的分级基金产品的归纳和总结，提

出我国的分级基金已经进入到第五代产品的阶段。二是将样本基金定位于更受投

资者青睐的被动指数型分级基金。

关键词：优先份额进取份额折溢价率正/负相关性

ABSTRACT

Innovation has been the source power for the development of the fund industry,

from closed-end equity to open-end equity, from stock type to bond and currency type,

from active management to passive management. The innovation of fund investment

products emerge in an endless stream. The classification fund has emerged as the times

require with the innovation trend to fill the gaps of leverage investment tools in our fund

market. As a very important innovation of fund market, the birth of classification funds

provides more detailed risk benefit demand to investors, promotes optimal allocation of

assets and has positive effect on increasing the whole issue size of fund industry. Not

only enlarge income through leverage, but also use the discount and premium rate to

form arbitrage. However like a double-edged sword, it has a very active price

fluctuation, (for example, it might be explosive increase of several decades within a few

trading days, meanwhile it might suddenly drop. Especially for the investors who like

investing premium share rather than discount share, preference following others will get

a huge loss. Based on the premise of deep understanding of classification funds,

grasping the factors affecting classification funds discount and premium rate can help us

avoid blindly following the trend and make a rational investment. Therefore, to explore

the factors influencing the Chinese classification funds discount and premium changes

and influence degree of each factor is necessary.

Due to the lack of domestic researches on classification funds discount and

premium rate but a lot of relatively similar researches on discount of closed-end fund,

the literature review was summarized by a combination of the closed-end fund and

classification funds. Based on the summarization of research reports and related books

on relevant classification funds, the definition and classification of classification funds

were described, and the characteristics and advantages were comprehensively

summarized. Through reviewing the development process of China's classification

funds, the features of our classification funds discount or premium were summarized

and described. Based on the above study, the factors affecting classification funds

discount and premium changes, as well as from designing，pricing and other aspects

were investigated to deeply analyze the fund industry from a theoretical point of view.

Based on the presented theoretical results the data availability and factor quantification,

five factors were selected, i.e., the leverage ratio, conversion provisions, fund cost,

product liquidity and market index of these five effects to develop a regression model of

panel data. The influential factors of China's classification funds discount and premium

rate were examined empirically, according to the present situation of classification funds

market，to arise the inspiration for development of classification funds in the future.

Finally, the positive / negative correlation between five effect factors and discount

or premium rate, even the correlation degree were obtained. Among them, the market

index is the most important, and the second is conversion provisions. Either of the

factors is positively correlated with discount or premium rate of overall and progressive

share, but opposite to preferred share. Based on the study, the development, of

classification funds in the future should introduce a market maker system, participate in

margin financing business, improve the stock index futures, early realize the T+0

transaction mode, improve the classification products homogeneous and the market

investment environmental for the purpose of promoting China capital market prosperity.

Key Words: Preferred Share, Progressive Share , Discount or

Premium Rate, Positive / Negative Correlation

中文摘要

ABSTRACT

第一章绪论 ....................................................... 1

1.1 本文的研究背景和意义 ......................................... 1

1.1.1 研究背景 ................................................ 1

1.1.2 研究意义 ................................................ 2

1.2 国内外文献综述 ............................................... 3

1.2.1 国外文献综述 ............................................ 3

1.2.2 国内文献综述 ............................................ 4

1.2.3 文献综述评价 ............................................ 6

1.3 研究内容、框架和方法 ......................................... 7

1.4 本文的重点、创新和不足 ...................................... 10

第二章我国分级基金概述 ............................................ 12

2.1 分级基金的定义 .............................................. 12

2.2 分级基金的分类 .............................................. 12

2.2.1 根据投资标的 ........................................... 12

2.2.2 根据运作方式 ........................................... 13

2.2.3 根据优先份额收益分配方式 ............................... 14

2.3 分级基金的特征和优势 ........................................ 15

2.3.1 分级结构 ............................................... 15

2.3.2 杠杆效应 ............................................... 15

2.3.3 套利机制 ............................................... 16

第三章我国分级基金折溢价率的现状分析 .............................. 19

3.1 国外分级基金发展历程分析 .................................... 19

3.2 我国分级基金发展历程分析 .................................... 20

3.3 分级基金折溢价率的概念 ...................................... 23

3.4 分级基金的市场表现分析 ...................................... 23

第四章我国分级基金折溢价率影响因素分析 ............................ 27

4.1 分级基金的设计因素分析 ...................................... 27

4.1.1 投资标的 ............................................... 28

4.1.2 杠杆率 ................................................. 29

4.1.3 配对转换机制 ........................................... 32

4.1.4 折算机制 ............................................... 34

4.2 分级基金的定价因素分析 ...................................... 38

4.2.1B-S 期权定价 ............................................ 38

4.2.2 蒙特卡洛模拟定价 ....................................... 40

4.2.3 定价因素的对比分析 ..................................... 41

4.3 其他因素分析 ................................................ 45

4.3.1 资金成本 ............................................... 45

4.3.2 产品的流动性 ........................................... 46

4.3.3 大盘指数 ............................................... 46

4.3.4 投资者情绪 ............................................. 46

第五章我国分级基金折溢价率影响因素的实证分析 ...................... 48

5.1 样本选择和数据来源 .......................................... 48

5.2 变量的设定 .................................................. 49

5.2.1 被解释变量 ............................................. 49

5.2.2 解释变量 ............................................... 49

5.3 构建模型 .................................................... 50

5.4 实证过程 .................................................... 50

5.4.1 面板数据单位根检验 ..................................... 50

5.4.2 面板数据的协整检验 ..................................... 53

5.4.3 面板数据的模型选择 ..................................... 53

5.4.4 面板数据的回归估计 ..................................... 55

5.5 实证结论分析 ................................................ 57

第六章结论与对策建议 .............................................. 59

6.1 主要结论 .................................................... 59

6.1.1 大盘指数 ............................................... 59

6.1.2 向下到点折算距离 ....................................... 59

6.1.3 实际杠杆 ............................................... 60

6.1.4 资金成本 ............................................... 60

6.1.5 产品的流动性 ........................................... 60

6.2 对策建议 .................................................... 61

6.2.1 引入做市商制度 ......................................... 61

6.2.2 参与融资融券业务 ....................................... 61

6.2.3 丰富股票指数期货品种 ................................... 62

6.2.4 实现 T+0 交易模式 ....................................... 63

6.2.5 改善分级产品同质化现象 ................................. 63

6.2.6 完善市场投资环境 ....................................... 64

参考文献 ........................................................... 65

附录 ............................................................. 69

在读期间公开发表的论文和承担科研项目及成果 ......................... 71

致谢 ............................................................. 72

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摘要：

摘要我国的基金市场一直缺乏杠杆型的投资产品，而分级基金的诞生恰好填补了这一空白，作为基金市场非常重要的一个创新，它不仅满足了投资者更为细致的风险和收益需求，还对促进资产的优化配置和提高基金行业的整体发行规模均有积极作用。分级基金的魅力不仅在于通过杠杆放大收益，还可以利用折溢价率进行套利。但是分级基金是一把双刃剑，因为其交易价格的波动十分活泼，常常在一个星期之内就突发性上涨，也可能没有预兆的忽然下跌。尤其对于那些“买涨不买跌”的投资者来说可能会造成巨大的损失。所以，只有在深入了解分级基金特性的前提下，进一步掌握分级基金折溢价变动的影响因素，才能够避免盲目跟风，做到理性投资。在此背景下，探讨影响我...

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