CAJ | 학술논문

本文简单回顾了分级基金的发展历程，并系统梳理了其类型和条款设计。通过对分级基金市场表现的研究，发现在扣除交易成本等因素后，具有配对转换功能的指数型分级基金存在溢价，即子基金价格之和大于母基金净值。而主动管理型分级基金则不存在溢价。进一步研究发现，指数型分级基金溢价来自于其B份额，且标的指数越容易做空，溢价越大。这说明缺乏对冲策略并非是分级基金溢价的来源。相反，有对冲策略的指数型分级基金B份额为市场提供了一个类似于指数期权性质的新产品，由于市场的不完备性，市场愿意为新产品支付溢价。其次，我们对影响价差的因素进行分析，发现子基金溢价随时间的变动与市场情绪指数和交易量相关，而与母基金的业绩表现无关。
본문간단회고료분급기금적발전역정，병계통소리료기류형화조관설계。통과대분급기금시장표현적연구，발현재구제교역성본등인소후，구유배대전환공능적지수형분급기금존재일개，즉자기금개격지화대우모기금정치。이주동관리형분급기금칙불존재일개。진일보연구발현，지수형분급기금일개래자우기B빈액，차표적지수월용역주공，일개월대。저설명결핍대충책략병비시분급기금일개적래원。상반，유대충책략적지수형분급기금B빈액위시장제공료일개유사우지수기권성질적신산품，유우시장적불완비성，시장원의위신산품지부일개。기차，아문대영향개차적인소진행분석，발현자기금일개수시간적변동여시장정서지수화교역량상관，이여모기금적업적표현무관。
This paper reviews the development of the split-capital funds and classifies them according to their terms and conditions. From their market performance, the authors find that the risk-free arbitrage opportunity does exist in the index split-capital funds with the split/merge function after trading cost deducted. Further research shows that the premium comes from B shares. The more easily the index can be shorted, the larger the premiums are. Thus, the premium cannot be attributed to the lack of hedge strategy. On the contrary, the index split- capital funds B shares provide the market with a kind of new option-like products. Due to the incompleteness of the market, the B shares are therefore priced with a premium. Also, the authors find that the time-variation of the premium is related with the market sentiment index and trading volume, while irrelevant with the underlvinu unit-share oerforrnnneo