摘要
随着我国证券市场的迅速发展，开放式基金资产占证券市场市值的比重越来越大，开放式基金流动性风险管理也成为基金管理机构和专家学者不断探索的课题。开放式基金的流动性风险是一种系统性风险，表现形式多样，影响因素众多，如何识别、分辨并加以准确的度量，如何在资产配置过程和基金日常管理过程中控制和管理流动性风险一直都是开放式基金风险管理中亟待解决与完善的问题。本文在国内外学者研究的基础上，通过对国内开放式基金流动性风险及其影响因素进行系统的研究，结合我国证券市场的现实情况，从流动性风险识别与分类、资产流动性风险和赎回风险、流动性风险对金融市场稳定的影响三个方面对我国开放式基金流动性风险进行理论研究和实证研究，为开放式基金流动性风险管理提供一些具有理论与应用价值的观点与建议。
本文的研究思路就是在梳理国内外关于开放式基金流动性风险相关理论与文献的基础上，遵循“风险识别-风险分类-风险分析-风险控制-危机防范”的逻辑思路，首先界定开放式基金流动性风险的定义和分类，然后对开放式基金资产流动性风险和赎回风险分别进行研究，并分析了开放式基金流动性风险可能引发的流动性危机的形成机制和我国开放式基金发展潜在的流动性问题，以期为基金管理公司与基金监管机构流动性风险管理提供参考。
本文的主要贡献包括：第一，在分析开放式基金流动性风险的来源与形成机制时，将这些风险分类为资产流动性风险和赎回风险，并以此为中轴建立起规范分析和实证分析的框架，展开对开放式基金流动性风险的论述，深入研究开放式基金流动性风险的形成机制和影响因素。第二，在分析我国开放式基金投资者赎回行为特征的基础上，对基金的委托代理关系、基金营销策略、基金费率结构与赎回风险的关系进行了研究，发现基金委托代理关系导致的道德风险和逆向选择行为损害了投资者的利益，从而失去投资者对基金产品的信任，基金费率结构和基金营销策略的不完善都是导致基金赎回风险的重要原因。第三，在借鉴基金流量理论的最新成果的基础上，结合我国证券市场的现实情况，对实证方法加以修正，利用面板数据模型对我开放式基金赎回行为进行了实证研究，并利用行为金融学和制度经济学理论对实证结果进行解释，为我国开放式基金赎回风险的管理提供依据。第四，为了实现基金资产流动性风险的最优控制，根据Hamilton函数方程和常微分方程求解最小执行成本的变现策略，并加以实证检验。第五，对开放式基金流动性风险对金融市场稳定的影响进行研究，在分析开放式基金流动性危机形成机制的基础上，分析我国开放式基金存在的潜在流动性问题和危机传导机制，并提出防范流动性危机的政策措施。第六，根据研究结论从基金管理公司和政府监管部门两个层面，提出开放式基金流动性风险管理的对策措施。
With the rapid development of China's securities market, open-end fund assets account for an increasing proportion of stock market value, and open-end fund liquidity risk management has also become the topic that fund management institutions and experts and scholars continue to explore. Open-end fund's liquidity risk is a systemic risk, the performance of various forms, the impact of many factors, how to identify, distinguish and accurately measure, how the process of asset allocation and fund day-to-day management of the process control and management of liquidity risk has been open-end funds are risk management and improvement of urgent problems.In this paper, on the basis of the early research results of domestic scholars and foreign scholars, through systematically studing China's open-end fund liquidity risk and the impact of risk factors, combined with the reality of China's securities market ,from the liquidity risk identification and classification, asset liquidity risk and redemption Risk, the impact of liquidity risk to the stability of financial markets, We carried out theoretical research and empirical research on China's open-end fund liquidity risk in order to provide some theoretical and applied suggestions for liquidity risk management of open-end funds.
In the paper, we sorted out theory and literature about open-end fund liquidity risk, and follow logical thinking of "Risk Identification - Risk Classification - Risk Analysis - Risk control - prevention of crisis," first of all, define the open-end fund liquidity risk of the definition and classification, and then studied on the open-end fund assets and redemption of liquidity risk respectively and analyze the reason why the open-end fund liquidity risk may lead to liquidity crisis and the formation mechanism of the development of China's open-end fund potential mobility issues, with a view to provide suggestions for liquidity risk management of fund management companies and fund supervision agency for reference.
The main contribution of this paper include the following: First, liquidity risk was classified as assets and redemption of the risks involved when the sources and formation mechanism of liquidity risk was analyzed, and establish framework for norms analysis and empirical analysis, then penetrate deeply to analyse the formation mechanism and impact factors of liquidity risk. Second, in the analysis of open-end fund investors to redeem the basis of behavioral characteristics of the Fund's principal-agent relations, marketing strategy, fund redemption rate structure and the relationship between the risk of the study and found that principal-agent relationship between the Fund led to moral hazard and adverse selection compromise investor interests, thus the loss of investor confidence in fund products, funds rate structure and marketing strategy funds are a result of imperfect risk fund an important reason for the redemption. Third, Based on the latest achievements of funds flow, combined the reality of China's securities market, the empirical methods was corrected. We used panel data model for empirical studies of our open-end fund redemption behavior, and used of behavioral finance and institutional economics to explain empirical results in order to provide the basis for the redemption of our open-end fund risk management. Fourth, in order to achieve the optimal liquidity risk control we realized strategy for solving the minimum cost of implementation functions according to Hamilton equations and ordinary differential equations, and the result was empirical tested. Fifth, We have studied open-end fund liquidity risk how affect the stability of financial markets, and analyzed the formation mechanism of open-end fund liquidity crisis ,then provided policy measures to prevent the liquidity crisis based on analysis of open-end fund potential liquidity problems and crisis transmission mechanism. Sixth,Based on the conclusions from the fund management sector management and two levels of government regulation, we proposed liquidity risk management measures for open-end funds.
引文
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