CAJ | 학술논문

封闭式基金的折价是各国基金市场普遍存在的一种现象，而我国封闭式基金折价问题与国外相比更加严重。本文基于我国18只封闭式基金从上市起至2013年的折价率、基金业绩等相关数据，运用Johansen协整检验和建立面板数据随机效应模型等方法进行检验分析，证明了噪声交易者的趋同交易行为是导致不同基金折价率曲线高度一致的原因，而投资者情绪是导致在基金市场繁荣交易时折价率大幅缩减的重要原因，从而验证了行为金融学关于封闭式基金折价之谜的观点，即噪声交易者风险的存在是基金折价交易的原因，为我国基金业的健康发展和投资者情绪的指标及运作机理研究提供一些参考。
봉폐식기금적절개시각국기금시장보편존재적일충현상，이아국봉폐식기금절개문제여국외상비경가엄중。본문기우아국18지봉폐식기금종상시기지2013년적절개솔、기금업적등상관수거，운용Johansen협정검험화건립면판수거수궤효응모형등방법진행검험분석，증명료조성교역자적추동교역행위시도치불동기금절개솔곡선고도일치적원인，이투자자정서시도치재기금시장번영교역시절개솔대폭축감적중요원인，종이험증료행위금융학관우봉폐식기금절개지미적관점，즉조성교역자풍험적존재시기금절개교역적원인，위아국기금업적건강발전화투자자정서적지표급운작궤리연구제공일사삼고。
At present, the issue of carbon dioxide emission has become one of the main topics for discussion in international community, and EU ETS is the most active market of carbon emission trading in the world. Based on an empirical study of price discovery function of EUA futures and Granger causality between EUA futures and CER futures, it finds that price discovery function of EUA futures is relatively good in the first and the second phases while from the beginning of the third phase, this function is less obvious because of the uncertainty of policy and the decrease of restraint; there is obvious friction and obstruction between EUA market and CER market in EU ETS; and companies bearing emission reduction responsibility cannot attain their goals by freely choosing appropriate contract with suitable price.