Based on Independent Component Analysis Method to Analyze the Influence Factors of Close-End Funds Fluctuation by Shanghai Stock Market
Jing Wang, Jing Dong, Zongfang Zhou · 2010
Factors influencing the volatility of the close-end funds listed in Shanghai Stock Market are investigated based on ICA (independent component analysis). In this study, investor sentiment, net asset value of close-end funds, volatility of shares, policy factors and business cycle are found to explain the volatility of close-end funds.