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Closed-End Fund Discounts in Chinese Stock Markets

Author

Listed:
  • TAO ZHANG
  • JIAN LI
  • PHIL MALONE

Abstract

This paper provides further evidence on the role of the efficient market hypothesis and the rational asset pricing model in the explanation of Chinese closed-end fund discounts. The closed-end fund discount presents a potential anomaly to the efficient market hypothesis. The results of the AR-GARCH model show that, on average, there is no significant relation between closed-end fund discounts and stock returns. In general, a closed-end fund discount has no predicting ability. Overall, our analysis does not support the investor sentiment hypothesis and limited rationality model in the Chinese stock markets.

Suggested Citation

  • Tao Zhang & Jian Li & Phil Malone, 2004. "Closed-End Fund Discounts in Chinese Stock Markets," Chinese Economy, Taylor & Francis Journals, vol. 37(3), pages 17-38, May.
    • Handle: RePEc:mes:chinec:v:37:y:2004:i:3:p:17-38
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    Cited by:

    1. Fengjiao Ma & A. Egrinya Eneji & Jintong Liu, 2014. "Understanding Relationships among Agro-Ecosystem Services Based on Emergy Analysis in Luancheng County, North China," Sustainability, MDPI, vol. 6(12), pages 1-20, November.
    2. Javed AHMED & Malik Fahim BASHIR, 2016. "An empirical investigation of banking sector development and economic growth in a panel of selected SAARC countries," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(607), S), pages 65-72, Summer.
    3. Mohamed Ayadi & Hatem Ben-Ameur & Skander Lazrak & Yue Wang, 2013. "Canadian Investors and the Discount on Closed-End Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(1), pages 69-98, February.
    4. Yingying Xu & Zhixin Liu & Jichang Zhao & Chiwei Su, 2017. "Weibo sentiments and stock return: A time-frequency view," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-21, July.

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