我国开放式基金流动性风险问题研究

华中科技大学硕士学位论文我国开放式基金流动性风险问题研究姓名：段斌申请学位级别：硕士专业：企业管理指导教师：夏新平20040429IVVABSTRACTThisarticleisabouttheliquidityriskofopen-endfundbasedontheviewthatthebehaviorofholders’redemptioncausestheliquidityriskofopen-endfundsinChina.Becauseitssharescanberedeemed,theopen-endfundhastofacethegreatliquidityrisk.Theliquidityriskofopen-endedfundoriginsfromthecontradictionbetweentheliquidityandreturnofthefund’sasset.Indevelopedcapitalmarket,suchasUSAmutualfundsmarket,thedegreeoftheliquidityriskisrelatedwiththefactorssuchas:thereturns,theinvestmentstrategy,theinvestmentabilityorreputationofthemanager,thestructureofmutualfundcharges,thereturnofthestockmarketindex,andsoon.BecausetheChinesecapitalmarketisadevelopingmarket,therearemanyfactorsthatincreasetheopen-endfunds’liquidityrisk,suchasthesmallmarketcapacity,thehighcostoftransferring,theunreasonablemarketstructure,thelackofshortsalesystem,andsoon.Itdescribesthehighliquidityriskofopen-endedfundinchinathroughtheempiricalstudyontheperformanceofChineseopen-endfunds.AndwebelievethatthehighliquidityriskofChineseopen-endfundsisrelatedwiththereturnoffund,theinvestmentstrategy,theinvestmentabilityorreputationofthemanagerandotherfactorsFinallythisarticlesuggestssomecountermeasurestopreventtheliquidityriskofopen-endfund.First,weshallstrengthentheliquidmanagementoffunds;Second,weshallimprovetheinternalfactorsoffunds,suchasraisethereturnoffunds,developbetterproduct,designgoodstructureoffundcharges;Third,weshallcreateafavorableexternalenvironmentforopen-endfundstoavoidrisk,suchasallowshortsell,improvethequalityoflistedcompanies,andstrengthenthesupervisiononthetrustees.KeyWords:Open-endFundTheLiquidityLiquidityRiskCountermeasurestoPreventtheLiquidityRiskIII_____111.11.1.11.1.212,324561.1.3,1.2191868——192432090ICI1992-19981.65.522.4%GDP41.95%1999-2003[1]200417.54[2]ICI20032002375312611.22,44870,4.83,,37.2%,,28.4%,60%30%10%,,6.390.850.800.380.370.300.290.250.250.210.180.16[3]200192003562621243.6620046141.31.3.11993[4]Ippolito1992[5]SirriTufano(1993)[6],HendricksPatelZeekhauser1994[7]Pei-GiShuYin-HuaYehTakeshiYamada2000[8]Warther(1995)[9]EdelenWarner2001[10]Chordia1996[11]VikramNarayananWarther(2000)[12]1.3.252000[13]2001[14](2001)[15]2003[16]VikramNarayananWarther(2000);622.12.1.1JamesTobin2.1.2SEC772.22.31992ICI2-182-1%491675780553426663753172-2%765820565613705719UnderstandingShareholderRedemptionDecisionsICI19931002.3.1Ippolito1992SirriTufano(1993)HendricksPatelZeekhauser1994Pei-GiShuYin-HuaYehTakeshiYamada2000ICI2-270%57%92.3.2ICI2-1662-344%19%11%26%2-3%434644251319101311232826UnderstandingShareholderRedemptionDecisionsICI1993:2.3.3VikramNarayananWarther(2000)102003VikramNarayananWarther(2000);2.3.4Chordia1996VikramNarayananWarther(2000)20032.3.519843707199968643111711980460199948405.147.4[13]219951219043.219993121045.627[13]32.3.6JohnReaRichardMarcis199619441995Warther(1995)EdelenWarner20011233.119911997199119967547199719985480020001020019200310200461133.24200220032003141049.35043719.093820549.818152445[17]52003393.33.3.190153.3.21200342457.7113178.52101/1095[18]21631744.14.1.1(/)(4.1)100×4120041505033-120033-1200140.01200214.782002232.819.212002420031212.9315.6217.62200332.8%2004421200223183-14.1.232001446200214.188.721.7117.263111.582002239.5220.06%131.82341.84109.54.492.56%3.234.11192002420031220024200321.440.04%200210%0.483.05%400022.28%2002121218041.27%39.1336.57.8436.50%29.09%18029.644026.90452003323.3541.1520034505.510.851002.051.734641.1560.8965.24204.24.2.1200194.2100×4.23-23-2213-23-1200142002120.79%4.81%2.81200234-4.26%-7.96%2003311.07200344.26%200316.682.24.26%2.2200321.75%16.912003330.672052003412.732212.814.2.150233-33-33-34.3.3243-43-43-42003315.846.532.146.384.4.43-5253-53-52655.15.1.15.1.2123()5.1.3271(T-bills)(TreasuryNotes)(TreasuryBonds)(AgencySecurities)199780%20%200461(5%10%)23285.1.4121050329103307l05.25.2.131125.2.2180200249512003345.1451.23200332123080%20%ETFLOFETF5.2.3335.35.3.1345.3.212345.3.3353666.16.2371243.661.410%1138Finance39[1]InvestmentCompanyInstitute.MutualFundBook2003[2]..(2004.3.1).[3]---(2003.10.29)[4]InvestmentCompanyInstitute.UnderstandingShareholderRedemptionDecisions,1993.[5]Ippolito,R.A.ConsumerReactiontoMeasuresofPoorQuality:EvidencefromtheMutualFundIndustry.JournalofLawandEconomics,1992,(35):45-70.[6]SirriE.R.andTufanoP..BuyingandSellingMutualFunds:Flows,Performance,FeesandServices.HarvardBusinessSchoolWorkingPaper,1993.[7]Hendricks,D.,Patel,J.,ZeekhauserR..Investmentflowsandperformance:Evidencefrommutualfunds,cross-borderinvestments,andnewissues.CambridgeUniversityPress,1994,p51-72.[8]Pei-GiShu,Yin-HuaYeh,TakeshiYamada.ThebehaviorofTaiwanMutualFundInvestors—PerformanceandFundFlows.Pacific-BasinFinanceJournal,2002,(10):583–600.[9]Warther,V.A,,AggregateMutualFundFlowsandSecurityReturns.JournalofFinancialEconomics,1995,(39):209-235.[10]Edelen,R.M.,Warner,J.B..AggregatePriceEffectsofInstitutionalTradingAStudyofMutualFundFlowandMarketReturns.JournalofFinancialEconomics,2001,(59):195-220[11]Chordia,T..TheStructureofMutualFundCharges.JournalofFinancial