中文摘要：

作为在交易所折价交易的基金品种，封闭式基金吸引了众多机构投资者和个人投资者参与博弈。然而关于封闭式基金市场波动性的研究较少，不能很好地刻画封闭式基金市场的极端风险对证券市场条件波动的影响。为此，本文运用CGARCH模型、Granger因果检验分析了深市基金指数（封闭式基金价格指数）与开放式基金、A股、B股、仿真股指期货以及债券市场的主要指数在波动上的关联性。同时分析了极端风险对条件波动的溢出效应。结果显示，深市基金指数的波动和仿真期指、B股、债券市场的关联性较大，具有引领仿真期指、B股、债券市场波动的实力。而中证基金指数、仿真期指、股票市场、债券市场主要指数对封闭式基金市场也存在部分影响。结论为机构投资者及时调整不同资产类别投资比例提供了参考。同时，也有利于国内监管部门以及投资者审慎地对待封闭式基金市场的影响力并加强风险防范意识。

英文摘要：

As a kind of discounted fund traded in exchanges, closed-end funds attract many institutional investors and individual investors. However, the study on closed-end funds market volatility is limited. Few studies always hardly capture the effect of extreme risk of the closed-end funds market on the conditional volatility of other market. In this paper, CGARCH model and Granger Causality Test are applied to exam- ine the relations between Shenzhen closed-end fund index and other 13 indices of fund, A share market, B share market, simulated stock index futures and bond markets with respect to both the conditional volatility and extreme risk spillover effect. The results show that the closed-end funds index is correlated with B share market, simulated index futures and bond markets greatly, and it is capable of leading the fluctuation of B share market, simulated index futures and bond＇s markets. On the other hand, it is somewhat vulnerable to the risks from fund, simulated stock index futures, share and bond markets. Our conclusion helps to guide the regulators and investors to recognize the influence of closed-end fund market properly and be conscious of risk control.