【作者】 郑瑾；

【导师】 戴志敏；

【作者基本信息】 浙江大学 ， 政治经济学， 2004， 硕士

【摘要】 开放式基金在我国才刚刚起步就面临了大规模的赎回危机,尚不完善的证券市场和不成熟的投资者使得我国开放式基金所面临的流动性风险有其特殊性,为我国开放式基金的发展提出了重要的课题。开放式基金的自由赎回制度是导致开放式基金难以避免的流动性风险的主要原因,本文从开放式基金流动性风险的形成机制出发,认为基金流动性风险存在三种情况:当持有的流动性头寸大于实际发生的赎回要求时,多持有的流动性头寸产生机会成本的流动性损失;当持有的流动性头寸小于实际发生的赎回要求时,为应对未预期的赎回要求而变现流动性差的风险资产产生变现流动性损失;变现流动性损失超出基金可承担的正常范围时产生流动性危机。据此构造了融合三种情况的流动性风险模型。结合模型和实证分析,认为影响基金净赎回量的因素主要有市场走势、基金的业绩表现和基金持有人结构,而资产配置和资产的流动性水平是影响流动性成本的主要因素,此外,资本市场的成熟程度、基金投资类型和投资策略以及市场信息完善程度也会影响基金的流动性风险水平。在模型分析和因素分析的基础上,本文构造了基于模型的流动性风险评估指标和简化的流动性风险评估指标,对我国偏股型开放式基金的流动性风险进行评估,并针对评估结果分析出的问题,提出我国开放式基金流动性风险管理的建议。更多还原

【Abstract】 Open-end funds have confronted large-scale redemption from the beginning in China. Incomplete stock markets and immature investors increase the liquidity risks open-end funds of China confronted, which has proposed a new and important project for development of open-end funds in China. The system of free redemption of open-end funds results in its inevitable liquidity risk. Based on the formation mechanism, this essay proposes a new definition to the liquidity risk of open-end funds, which refers to uncertainty of opportunity cost or asset liquidation cost because real redemption is different from expected redemption when confronting random demand of redemption. So there exist three situations in liquidity risk of open-end funds: when liquidity assets held by funds exceed real redemption, excessive liquidity assets will give birth to opportunity liquidity lost; when liquidity assets are less than real redemption, liquiding assets of low liquidity to deal with unexpected redemption will give birth to redemption liquidity lost; when redemption liquidity lost exceeds the common range, liquidity crisis may break out. The essay constructs an integral model of liquidity risk including three situations. The model shows that redemption amount and liquidity cost are key points of controlling liquidity risk of funds. Elements of influencing redemption amount are market trend, profit achievement and investor structure of funds, while asset allocation and asset liquidity mainly influence liquidity cost. On the basis of model analysis and factor analysis, the essay devises two kinds of indexes to evaluate liquidity risk of open-end funds: one is totally based on the model and the other is simplified from the former one, and then use the indexes to evaluate the liquidity risk of open-end funds mainly investing stock market in China. Aiming at the problems reflected by the former evaluation, the essay proposes scheme and system on management of liquidity risk of open-end funds in China.更多还原