Closed-End Fund Discounts in Chinese Stock Markets

Tao Zhang, Jian Li and Phil Malone

Chinese Economy, 2004, vol. 37, issue 3, 17-38

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.

Date: 2004
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