A Correlation Analysis Among Weekly Price Yield, Weekend Vernight Price Yield And Nav Yield Based On Chinese Closed End Fund

Along with Chinese financial industry swift development, the securities investment has become an important component of the social economy life. As a kind of securities investment, the fund investment is very common in the daily life. The fund market attracts a great many investors to join in which, to attempt great results because of the above reason. Meanwhile, the fund market also attracts a great number of scholars to study market inherent laws, to seek the effective research technique and the tool. But the fund market is a complicated system influenced by numerous uncertain factors, fund price's law of motion is often very difficult to catch.According to present operation mechanism in Chinese security market, net asset value of close-ended fund is announced after close in last trading day every week. Therefore take the announcement of the net asset value as the boundary, we can define two price returns ratio about close-ended fund:â‘ Weekly price yield is the price change ratio from open price of the first trading day every week to close price of last trading day every week. Net asset value of close-ended fund is announced after close in last trading day every week, therefore the secondary market investor don't know precise net asset value for a close-ended fund, also don't know the change direction of net asset value. One rule is important which is close-ended fund's core value is actually decided by net asset value. In another words, it is net value of portfolio held by close-ended fund. Therefore, we may think that the weekly price yield is a forecast of net asset value returns which will be announced in weekend.â‘¡Weekend overnight price yield is the price change ratio from close price of last trading day last week to open price of first trading day this week. We may anticipate that weekend overnight price yield will response to latest announced net asset value (yield). In this research, we attempt to test whether weekly price yield have forecast function for net asset value yield which will be announced in weekend and whether weekend overnight price yield will response to latest announced net asset value (yield). In addition some researches indicated that weekly price yield and weekend overnight price yield is significantly inversely correlated in the US security market. The article will also examine whether this phenomenon is existed in Chinese market. Based on the above reasons, close-ended fund's price change ratio needs to be divided into weekly price yield and weekend overnight price yield.Several methods are used in the research, containing correlation analysis between variables, vector auto regressive analysis (VAR in another word), Granger casualty examination, impulse response function analysis and the multi-variable linear regression. We may divide above study methods into three broad categories. The first category is correlation analysis between variables. The interrelationship among net asset value yield, weekly price yield and weekend overnight price yield is studied through correlation analysis, then create Pearson correlation matrix. The significance of correlation also needs to be tested. The second category contains vector auto regressive analysis (VAR in another word), Granger casualty examination and impulse response function analysis. These three methods actually introduce influences producing by lag terms. The main purpose of using these methods to study whether changes in net asset value yield of closed-ended fund can cause changes in weekly price yield and changes in weekend overnight price yield; whether unexpected changes in weekly price yield and unexpected changes in weekend overnight price yield can have a shock for net asset value yield. Then the significance and specific direction of shock need to be tested using by statistics significant software. The third category is multi-variable linear regression which is built by two kinds of equations, respectively take weekly price yield and weekend overnight price yield as dependent variable. The main purpose of multi-variable linear regression is to study whether weekly price yield is a forecast net asset value yield, as well as whether weekend overnight price yield have response to net asset value yield. Generally speaking these analysis methods verify mutually, step-down gradually and supplement mutually.There are several research conclusions in this article. First, changes in net asset value of closed-ended fund can cause changes in market price; but changes in market price can not cause changes in net asset value. The study suggests that the closed-fund units'market price fluctuated with net asset value, directly influenced by the relationship between supply and demand. But underlying value of closed-fund is mainly determined by its net assets value. Second, in steady stage of security market, the effect of "predicting net asset value yield-responding net asset value yield" above mentioned is more effective. On the contrary, in bull market or bear market, the effect is not very clear. There are four reasons to interpret this phenomenon:discounting in closed-end fund; sentiment in security market; affected by market information factors; affected by other investment products.