我国开放式基金流动性风险管理

【作者】 梅向东；

【导师】 陈永生；

【作者基本信息】 西南财经大学 ， 金融学， 2004， 硕士

【摘要】 自从我国开放式基金成立以来，基金份额的持续性大规模赎回就是基金管理人所面临的一个严峻问题。开放式基金在遭遇大规模赎回时，如果现金不足，就只有被迫将资产变现以应付赎回，在此过程中不可避免的要承受流动性损失，由此也会造成市场的波动。基金份额的巨额赎回会给开放式基金带来严重的流动性风险，甚至可能导致基金清盘，它已成为了阻碍我国开放式基金健康发展的一个不可忽视的因素。由于我国开放式基金成立时间不长，尚属于证券市场的新兴事物，在流动性风险管理方面的理论和经验都还不足，因此如何研究、防范以及化解由基金投资者赎回所导致的流动性风险就成了摆在我国开放式基金面前的一项重要而又刻不容缓的课题。有鉴于此，本文选择了这一题目，旨在通过对开放式基金流动性风险管理的研究，提出相关的有针对性的建议，希望以此能对开放式基金的发展壮大、相关的政策制定以及证券市场的稳定发展有所帮助。本文首先研究了开放式基金流动性风险的内涵、形成机制，考虑到我国的实际情况，又对我国开放式基金流动性风险的特殊性进行了分析。由于基金投资者的赎回是导致开放式基金流动性风险的主要因素，因此，接下来本文着重对投资者的赎回行为进行了研究，并进行了实证分析。研究风险的目的是为了防范和化解风险，因而本文最后分别从开放式基金的资产管理角度、负债管理角度以及基金内外的制度建设角度探讨了如何对开放式基金的流动性风险进行管理，并提出了一些具体措施和政策建议。本文采用了循序渐进的研究思路，首先提出开放式基金的流动性风险问题，然后对影响基金流动性风险的因素进行分析，最后研究解决开放式基金流动性风险的方法并给出相应的建议。在具体的研究方法上，本文采用了理论和实证分析相结合的方法，这使研究具有了更大的参考价值。 <WP=4>本文内容共分为四章。第一章对开放式基金流动性风险进行了系统性的理论概述。首先介绍了开放式基金流动性风险的内涵。开放式基金的流动性风险是指基金管理人为满足投资者的赎回要求，将其所持有的资产变现，由于变现过程中价格的不确定性而可能遭受的价值损失。然后研究了开放式基金流动性风险的形成机制，它是由基金投资者的赎回所导致的一个正反馈过程；而从深层次的原因看,开放式基金资产盈利性和流动性的矛盾是其流动性风险的根源。接下来，考虑到我国证券市场的实际情况，探讨了我国开放式基金流动性风险的特殊性。最后，分析了开放式基金流动性风险管理的内容和目标。开放式基金流动性风险管理，就是在保证基金净值一定增长水平的条件下,保持资产适当的流动性 ,即在保证资产赢利性的同时，也要保证资产能够较快地以较小的价值损失和较低的交易成本转换成现金 ,以满足当时市场条件下基金投资者的赎回要求。本文第二章详细分析了开放式基金投资者的赎回行为。第一节对我国开放式基金遭遇赎回的现状进行了介绍，目前赎回潮呈现出来的特点是持续性、全面性和巨额性。投资者赎回行为是一个复杂的过程，受多种因素的影响，因此在第二节本文详细分析了投资者的赎回行为。首先分析了投资者的赎回动机，然后对影响投资者赎回行为的因素进行了探讨。投资者的投资理念对其赎回决策有着重要的影响，由于我国不少开放式基金在首次募集过程中采用了一些非市场化手段，致使追求短期收益的机构投资者持有了大部分的基金份额，这成为了基金赎回压力的一个重要来源。另外，基金的基本面情况也是基金投资者在做出赎回决策时所考虑的十分重要的因素。与基金基本面相关的因素包括基金业绩、基金类型、基金投资策略、基金分红和收费模式等，本文对此进行了详细探讨。基金业绩是投资者十分关注的一个指标，由于我国投资者投资理念不成熟，短线操作思维严重，这造成开放式基金业绩越好，赎回压力反而越严重。此外，股票市场大盘走势也对投资者的赎回行为也有影响，本文分别对投资者的赎回行为在大盘处于上升周期和下跌周期中的表现和机理进行了探讨。在本章的<WP=5>第三节，笔者通过建立多元线形回归模型，对开放式基金投资者的赎回规模进行了实证分析，得出结论开放式基金的分红情况以及基金类型等因素对投资者的赎回规模有着显著影响。 第三章本文研究了开放式基金流动性风险的资产负债管理。第一节探讨了基金流动性风险的资产管理。首先介绍了开放式基金配置资金的原则，即根据流动性将资产划分排序, 然后将稳定性不同的资金来源相对应地分配于流动性不同的各类资产。在对美国基金流动性资产比重情况进行分析借鉴之后，本文探讨了我国开放式基金目前的资产配置现状。开放式基金如何估计自身对现金的需求量以及如何确定自身的现金持有量是流动性风险管理的核心问题，因此本文接下来研究了基金应如何达到现金流量的平衡。投资组合的构建对于流动性风险的防范也是很重要的，开放式基金应该选择本身流动性好，变现成本低的证券进行投资，并应在对具体股票或债券进行分析的基础上，运用现代投资组合理论构建科学合理的投资组合，以进一步降低资产变现时的可能损失。在本节的最后，笔者介绍了如何通过资产比率指标和流动性?更多还原

【Abstract】 Since the establishment of the first open-ended fund in China, one of the severe problems facing fund managers is the continuous large-scale redemption by fund shareholders, which could cause serious liquidity risk to open-ended funds and, if worse, may result in the liquidation of open-ended funds. This problem has resulted in a great negative influence on the healthy development of our country’s fund industry. Because the open-ended fund is still a new financial product in China, fund managers lack knowledge and experiences regarding liquidity risk management. Therefore, it is an important as well as urgent task for our fund managers to analyze, avoid, and solve the liquidity risk caused by shareholders’ redemption. Considering that, the author chooses this topic for thesis with the purpose of offering relevant and meaningful suggestions through the research of liquidity risk management of open-ended fund, hoping it will be helpful to the development of open-ended fund, the making of relevant policies and the stability of security markets.The research of the thesis begins with the conception of open-ended fund’s liquidity risk and its forming mechanism. Afterwards, the particularity of our country’s open-ended fund is analyzed. Next, because a shareholder’s redemption is the primary reason causing liquidity risk of open-ended fund, the thesis studies a shareholder’s redeeming behavior, and makes an empirical analysis. Finally, the thesis discusses the liquidity risk management of open-ended fund from the perspectives of asset management, liability management and the fund’s relevant system establishment, internally and externally.The study of the thesis advances step by step, which follows the way as below: firstly, raising the problem of liquidity risk of an open-ended fund; next, making an analysis about factors causing liquidity risk; finally, <WP=8>giving relevant suggestions on the basis of investigating the ways of solving liquidity risk. With regard to specific methods of study, the thesis uses theoretical as well as empirical analysis with a view of making the study more valuable.This thesis is divided into four chapters.Chapter one discusses the theory of open-ended fund’s liquidity risk systematically. Firstly, it introduces the conception of open-ended fund’s liquidity risk, which refers to the possible loss due to the uncertainty of price when the open-ended fund manager has to sell the fund’s assets for cash after facing the redemption of shareholders. Next, it studies the forming mechanism of liquidity risk, a positive feedback process, and discovers that the root of open-ended fund’s liquidity risk lies in the conflict between the profitability and liquidity of its assets. Then, after considering the actual situation of our security markets, it discusses the particularity of liquidity risk of our country’s open-ended funds. Finally, it studies contents and goals of liquidity risk management of an open-ended fund.Chapter Two mainly makes an analysis about open-ended fund shareholders’ redeeming behavior. Section One gives an introduction to the current situation of open-ended fund shareholders’ redemption of our country, which appears to be huge, continuous and comprehensive. Section Two discusses the factors influencing fund shareholders’ redeeming behavior. It begins with analyzing shareholders’ motives to redeem, and then investigates the factors influencing fund shareholders’ redeeming behavior in detail, in which a fund’s shareholder structure has a direct influence on the redemption scale. The irrational ways used by some open-ended funds in IPO result in a lot of shares hold by institutions pursuing short-term profit, which becomes another source for large-scale redemption. Because the fund’s fundamental factors including performance, investment strategy, fund scale and fees and expenses are <WP=9>also very important for shareholders to make their decision to redeem, in Section Two the thesis analyzes them respectively. Section Three makes a emp更多还原