Zero Returns in Chinese Bond Funds
- Title
- Zero Returns in Chinese Bond Funds
- Other Titles
- 중국 채권 펀드의 제로 수익률
- Author
- 황지현
- Alternative Author(s)
- 황지현
- Advisor(s)
- 오지열
- Issue Date
- 2020-08
- Publisher
- 한양대학교
- Degree
- Master
- Abstract
- Zero returns are common in Chinese bond funds: on more than 25% of trading days, NAVs do not change. Nontrading of the underlying assets is likely to be an important contributor. If the bonds held by a fund are not traded due to illiquidity, the fund itself is unlikely to update its price. As a result, NAVs are stale and biased, which may result in some degree of unfairness and irrationality. This paper aims to study the zero returns in Chinese bond funds due to non-trading of bonds held by the funds, and further divides the full sample into bond funds with lock-up period, bond funds without lock-up period for comparison. This paper also analyzes the unique operation system of Chinese bond market and its effect on bond market liquidity.
- URI
- https://repository.hanyang.ac.kr/handle/20.500.11754/153439http://hanyang.dcollection.net/common/orgView/200000438305
- Appears in Collections:
- GRADUATE SCHOOL[S](대학원) > BUSINESS ADMINISTRATION(경영학과) > Theses (Master)
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