LOF基金毕业论文

摘 要

目前，我国封闭式基金和开放式基金都面临着一些问题。如:开放式基金申购、赎回价格未知的风险和封闭式基金在市场低迷格局下将面临较大的流动性问题等等，都影响着其进一步发展。LOF基金(上市型开放式基金)是深交所为弥补封闭式基金与开放式基金的不足而设计的新品种，它兼具了封闭式基金交易方便、交易成本较低和开放式基金价格贴近净值的优点，为交易所交易基金在中国现行法规下的变通品种，被称为中国特色的ETF，其具有与ETF相同的特征。LOF(上市型开放式基金)是ETF(交易型开放式指数基金)与国内现有法律环境相结合的产物。由于国外实行ETF所需要的几个条件在我国均有障碍，因此当前在我国实施LOF比ETF更具有可行之处。总的来说，LOF基金将在今后的很长一段时间内与ETF并存于中国基金市场。

通过本文的分析得出了一些结论，对于投资者而言，如果预期市场不会出现大幅波动等极端情况，并且对LOF基金持仓股票比较了解，在LOF基金一级、二级市场的价格差距超过一定限度时，投资者应该把握套利的机会。同时，在LOF的套利过程中会遇到一些诸如折价溢价，流动性，以及套利操作中的风险，所以投资者在套利的过程中需要审时度势把握机会，并且一个合适的操作策略是一个好的选择。

关键词：上市型开放式基金，套利机制，折价溢价

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The Research of LOF Arbitrage

Abstract

Currently, both Closed-end funds and Open-ended funds in China are facing problems that have affected their further developments. To make up their deficiency, Listed Open-Ended Funds (LOF) was launched as a new fund by Shenzhen Stock Exchange. It is both are convenient for closed-end fund trading, the lower transaction costs and closer to open-end fund the price close to the net advantage,that is modifications species which the exchange-traded funds under the existing regulations in China,Known as the Chinese characteristics of ETF, ETF has the same characteristics.One hand, it can traded in Exchange;On the other hand,it is an open-end fund, the holder can purchase and redemption under net value of the Fund. LOF is a combination product of ETF and our domestic law system. Due to the difficulties to meet some requirements of implementing ETF in China, it is more feasible to implement LOF than ETF. Generally, LOF will exist together with ETF in the fund industry in China.

China set the first Listed Open-ended Funds as one kind of innovation of trade way in 2004,as a new fund products, LOF’s product features, operational principles and mechanism of the rapid rise to arbitrage the market's attention. The paper consists of four chapters. The first chapter Elaborated such basic issues to the Research status, background, significance and research methods; The second part, Introduced the concept of LOF,Organization of the LOF operation of the market to do some research,at the same time,described the development in China;Analysis of several factors arbitrage LOF, Open-end fund listed on the advantages and operation of risk controlin the third part; Arbitrage on the LOF approach to case studiesin the Fourth part, Explained some of the arbitrage strategy process.

Key Words: Listed Open-Ended Fund, Arbitrage principle, Premium discount

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目 录

摘 要 ........................................................................................................................ 1 Abstract........................................................................................................................... 2 引 言......................................................................................................................... 1 1文献综述 ..................................................................................................................... 2

1.1本课题国外研究进展 ........................................................................................ 2 1.2本课题国内研究进展 ........................................................................................ 3 2 LOF的定义与交易制度 .............................................................................................. 5

2.1 LOF的定义和特点............................................................................................ 5 2.2 LOF的交易制度................................................................................................ 5 2.3 LOF基金的优势................................................................................................ 7 2.4 LOF运作过程中主要的参与机构..................................................................... 9 3 LOF基金的套利影响因素分析 ................................................................................ 10

3.1 折价溢价对于LOF基金套利的影响 ............................................................. 10 3.2 流动性对于LOF基金套利的影响 ................................................................. 10 4 LOF基金套利的实例研究 ........................................................................................ 13

4.1 LOF基金套利机制.......................................................................................... 13 4.2 套利实例分析 ................................................................................................. 14

4.2.1 嘉实300制度设计................................................................................ 14 4.2.2套利具体流程 ........................................................................................ 14 4.2.3 套利影响因素分析................................................................................ 15 4.3 LOF基金套利策略.......................................................................................... 16 4.4 LOF操作中的风险控制 .................................................................................. 17 结 论 ...................................................................................................................... 19

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参 考 文 献 ................................................................................................................. 20 附 录....................................................................................................................... 22

附录A：外文原文 ................................................................................................ 23 附录B：外文译文 ................................................................................................ 29 在 学 取 得 成 果 ..................................................................................................... 33 致 谢 ...................................................................................................................... 34

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