中国分级式基金的套利策略的实证研究金融专业论文.docxVIP

达到尽可能多包括市场上已有影响因素。关键词：分级基金；套利；历史回测；冲击成本 达到尽可能多包括市场上已有影响因素。 关键词：分级基金；套利；历史回测；冲击成本 万方数据 AN AN EIIP I R l CAL$1tlDY ON THE ARB I TRAGE STRATE6E OF C川№，S GR加ING FUN陷 ABSTRCT As one of the China’s capital market innovation，grading fund has been existing over for eight years．However,its operation mechanism is still not been known by a large number of investors．During the stock market crash happened several times this year,a lot ofhigh premium grading fund B，whiela is faced with the risk of under the fold,、Ⅳas still been bought by a large number of investors and those investor suffered heavy losses．Lack of knowledge and imperfect exchange system design have been great reaSOll．Therefore，to strengthen the investor education and improve exchange system is跹imminent task．At the same time，the grading血nd both meet the demands of investors who pursue high returil and high risk and those who ale risk averse．Therefore these grading funds 1t1e been increasingly active Wading in recent years．In China’s capital market，grading fund A is exchanged at discount,grading fund B is exchanged at premium，and the grading f．und is exchanged at premium in a long-term time，it c纽be said that in the China’s A-share capital market,the grading fund has natllral arbitrage attributes especially in last year when the stock market is obviously abnormal fluctuating．This phenomenon is closely related to the T+1 and price limit system．In this paper,we put forward a practical and feasible grading fund arbitrage strategy which is based On the grading fund characteristics of the A stock market,and CalTig$out a practical analysis． First,this paper gives a simple review about grading fund at home and abroad， expounds the origin ofthe grading fund,the present situation ofgrading fund in China， the species and the likely future trend of grading血nd．Then giving the analysis about grading血nd A share and B share mergering and splitting mechanism as well as conversion mechanism from the structure of grading血nd and then