【作者】 黄勇；

【导师】 冉茂盛；

【作者基本信息】 重庆大学 ， 金融学， 2008， 硕士

【摘要】 开放式证券投资基金是我国金融市场于推出的创新品种。近两年,我国开放式基金经历了快速的发展。截至2007年2月底,共有325只基金正式运作,资产净值9856.7亿元,基金份额达6788.2亿份。与其他证券投资活动一样,收益与风险总是结伴而行,但在实际操作中,开放式基金最大的特点就是它必须直接满足投资者的赎回要求,因此,它的流动性风险格外引人关注。尤其是国内投资者及投资环境的特殊性导致了我国开放式基金的流动性风险要高于国外。由于我国开放式基金发展时间较短,目前国内关于开放式基金流动性风险问题的研究还处于起步阶段,且绝大部分是定性描述,而对于各基金流动性风险的计量非常欠缺。因此,本文对我国开放式基金流动性风险进行实证研究和分析,并希望提出科学、先进、有针对性的管理方法。本文首先对我国开放式基金流动性风险的特殊性进行了较为详尽的阐述,分析了我国开放式基金流动性风险产生的内因、外因。本文将重点放在实证分析,分别从资产配置、组合变现能力、持股集中度、持有人结构等多个角度对我国开放式基金的流动性风险进行了实证分析。本文研究所采用的数据皆来自于各家基金的年报和季报,研究方法主要运用对比和比较。最后本文结合国外先进经验,设计科学的流动性风险管理目标、内容、流程,提出在我国加强开放式基金流动性风险管理的意见。更多还原

【Abstract】 Open-ended fund is an innovation in China’s financial market. Open-ended fund Developed very fast in our country in these two years. Open-ended fund assets reached a record 985 billion RMB by February 30, 2007. Like many other securities investment activities, it has the possibilities of both profits and risks. However, in practice, the liquidity risk of open-ended fund focuses more attention. Specially, the peculiarity of our investors and invest environment due to higher liquidity risk in our country than in other countries.Because the development time of open-ended fund in our country is short, at present domestic study is also at the foundational stage about fluid risk question’s research of the open-end fund, and the most parts is the qualitative description, it is defective regarding to quantitive study of fluid risk’s measurement. Therefore, this article focus on the empirical study and analysis about the open-end fund fluid’s fluid risk in our country, I hoped that it can propose the science, advanced, and target-oriented management.In this paper, author expounds the peculiarity of our capital market and analyses the liquidity risk of open-ended fund arising from internal and external causes. This paper will focus on the empirical analysis, from the various angles of asset allocation、portfolio liquidity、concentration of shareholdings、holders of the structure of China’s open-end fund. The data used in this paper are all from the various annual quarterly reports, the main methods include contrast and comparison.Finally this paper will devise the scientific object, contents and program in accordance with the advanced foreign experience and draws some advises to enhance the level to control the liquidity risk of open-mutual fund .更多还原