中文摘要：

以我国仍在交易的25支封闭式基金为研究对象,利用每支基金从上市第2年到2010年12月的交易价格和净值的周数据进行实证分析。运用恩格尔-格兰杰两步法并进行Johansen协整检验,证实了我国封闭式基金折价存在均值回归现象。同时,误差修正模型分析结果显示,25支样本基金中有22支基金的交易价格与净值的误差修正项显著,说明封闭式基金的交易价格和净值的变动均会影响基金折价,其中交易价格变动对折价的影响更大。最后,提出我国基金投资者可通过投资折价较大的封闭式基金获得超额收益。

英文摘要：

Taking 25 closed-end founds（CEFs） as the research example,and applying the Engle-Granger two-step method and the Johansen cointegration analysis,this paper verifies there exists the tendency of mean regression of CEF discount through using the weekly data about share price and net asset value（NAV） of 25 CEFs from the second year after listing to December 2010.The analysis results of error correction model shows that 22 ones of 25 CEFs exhibit statistically significant error-correction terms for both share price and NAV,which indicates that the movement of both share price and NAV impact the discount,and the effect of share price on the discount is bigger.Finally,it considers that fund investors in China could obtain excess returns through investing in CEFs at discounts.