开放式基金流动性风险与管理研究
|
摘要
开放式基金是我国证券市场一个新的投资品种，它集银行活期存款的流动性便利性、证券组合投资的高收益于性一身。自从2001年9月开放式基金在我国发行以来，倍受投资者的关注。开放式基金流动性风险是指基金管理者在面临大规模赎回压力时，难以在确定的时间内以稳定的价格将其投资组合变现而引起的不确定性，其极端情况类似于银行的“挤兑”风险。目前我国证券市场还不完善，市场投资者还不成熟，基金管理者如何在运营中平衡基金资产的盈利性和流动性，以实现基金面临赎回时，尽可能地减少基金净值的损失程度，降低因投资者赎回造成挤兑风险进而可能诱发流动性风险的可能性，是开放式基金流动性风险研究的关键所在。
本文参照Vikaram(2000)有关开放式基金流动性风险管理理论模型和布鲁克斯—沃利斯的非参数检验模型等，结合我国证券市场的特殊性，从2002年第四季度我国开放式基金普遍遭遇大规模赎回现象出发，通过实证研究探讨开放式基金流动性风险产生的原因。主要从现金类资产库存量、股票投资组合流动性及基金赎回行为中资金需求的平衡关系等方面加以说明，并提出规避我国开放式基金流动性风险的对策与建议。全文分为五个部分：引言介绍开放式基金的发展概况及其流动性风险的内涵；第一部分是我国开放式基金流动性风险的特殊性及现状；第二部分提出开放式基金流动性风险管理理论模型；第三部分对我国开放式基金流动性风险进行实证检验；最后得出分析结论与管理对策。
通过分析本文得出以下结论：(1)开放式基金资产的收益性和流动性的矛盾是其流动性风险的根源。(2)我国的证券市场仍处于发展阶段，投资者投机性强。(3)证券市场持续稳定地发展是开放式基金得以长足发展的保障。现有的开放式基金绝大多数是股票型基金，其业绩依赖于股市向好，进而影响投资者是否持有基金的抉择。(4)目前我国证券市场在关于大宗交易、程序化交易、做空机制和规避风险的金融工具等方面的制度尚不健全，制约了基金管理人控制风险的能力，也加大了其面对流动性风险的压力。
Open-end funds, a new vehicle in security market of China, combines the liquidity & convenience of current account and the high return of portfolio, which cause investors' general concern since they have been issued in September 2001. Open-end funds liquidity risk refers to the uncertainty that fund managers can redeem the portfolio at stable price in a given period when a large-scale withdrawal occurs, the extremes of which is quite similar to a run on the bank. Allowing for the developing security market and the inexperienced investors in China, fund managers have to weigh profitability of fund asset against liquidity involved, so as to reduce the loss of net fund value and to drop the possibility' of liquidity risk due to investors' withdrawal. These are the keys to the study of open-end fund liquidity risk.
The article refers to both Vikaram's open-end funds liquidity risk management model and Blukers-Aulis'non-parameter model, also take into consideration the particularity of China security market. Through the fact that open-end funds suffered heavily from a large-scale withdrawal since the fourth quarter in 2002, it demonstrates the root cause of open-end funds liquidity risk, puts great emphasis on asset reservation in cash, stock portfolio liquidity and capital requirement in withdrawal, eventually raises some valuable advice to hedge liquidity risk.
The article consists of five parts: the preface introduces the survey of open-end fund and the concept of liquidity risk; part one states the particularity and current situation of open-end fund; part two tells the open-end fund liquidity risk management model; part three says the verification of liquidity risk in brief; the end offers the conclusions and advice.
We can draw these conclusions through the analysis in the article: (1) the conflict between profitability and liquidity is the root of open-end funds liquidity risk (2) the security market in China is still developing with lots of speculators (3 ) the continious and stable development of security market is the precondition of open-end fund .most of open-end funds are in the type of stock, whose performance
depends on stock market (4) so far, the merchanics in terms of block trade, processing trade, as well as derivatives of short sales and risk-hedging is still in progress, which restrict fund managers'competence to control risk and increase their stress in dealing with liquidity risk.
本文参照Vikaram(2000)有关开放式基金流动性风险管理理论模型和布鲁克斯—沃利斯的非参数检验模型等，结合我国证券市场的特殊性，从2002年第四季度我国开放式基金普遍遭遇大规模赎回现象出发，通过实证研究探讨开放式基金流动性风险产生的原因。主要从现金类资产库存量、股票投资组合流动性及基金赎回行为中资金需求的平衡关系等方面加以说明，并提出规避我国开放式基金流动性风险的对策与建议。全文分为五个部分：引言介绍开放式基金的发展概况及其流动性风险的内涵；第一部分是我国开放式基金流动性风险的特殊性及现状；第二部分提出开放式基金流动性风险管理理论模型；第三部分对我国开放式基金流动性风险进行实证检验；最后得出分析结论与管理对策。
通过分析本文得出以下结论：(1)开放式基金资产的收益性和流动性的矛盾是其流动性风险的根源。(2)我国的证券市场仍处于发展阶段，投资者投机性强。(3)证券市场持续稳定地发展是开放式基金得以长足发展的保障。现有的开放式基金绝大多数是股票型基金，其业绩依赖于股市向好，进而影响投资者是否持有基金的抉择。(4)目前我国证券市场在关于大宗交易、程序化交易、做空机制和规避风险的金融工具等方面的制度尚不健全，制约了基金管理人控制风险的能力，也加大了其面对流动性风险的压力。
Open-end funds, a new vehicle in security market of China, combines the liquidity & convenience of current account and the high return of portfolio, which cause investors' general concern since they have been issued in September 2001. Open-end funds liquidity risk refers to the uncertainty that fund managers can redeem the portfolio at stable price in a given period when a large-scale withdrawal occurs, the extremes of which is quite similar to a run on the bank. Allowing for the developing security market and the inexperienced investors in China, fund managers have to weigh profitability of fund asset against liquidity involved, so as to reduce the loss of net fund value and to drop the possibility' of liquidity risk due to investors' withdrawal. These are the keys to the study of open-end fund liquidity risk.
The article refers to both Vikaram's open-end funds liquidity risk management model and Blukers-Aulis'non-parameter model, also take into consideration the particularity of China security market. Through the fact that open-end funds suffered heavily from a large-scale withdrawal since the fourth quarter in 2002, it demonstrates the root cause of open-end funds liquidity risk, puts great emphasis on asset reservation in cash, stock portfolio liquidity and capital requirement in withdrawal, eventually raises some valuable advice to hedge liquidity risk.
The article consists of five parts: the preface introduces the survey of open-end fund and the concept of liquidity risk; part one states the particularity and current situation of open-end fund; part two tells the open-end fund liquidity risk management model; part three says the verification of liquidity risk in brief; the end offers the conclusions and advice.
We can draw these conclusions through the analysis in the article: (1) the conflict between profitability and liquidity is the root of open-end funds liquidity risk (2) the security market in China is still developing with lots of speculators (3 ) the continious and stable development of security market is the precondition of open-end fund .most of open-end funds are in the type of stock, whose performance
depends on stock market (4) so far, the merchanics in terms of block trade, processing trade, as well as derivatives of short sales and risk-hedging is still in progress, which restrict fund managers'competence to control risk and increase their stress in dealing with liquidity risk.
引文
1. Vikram Nanda :"Liquidity, Investment Ability, and Mutual Fund Structure", 1997.
2. Chordia, Tarun: "The structure of mutual fund charges", Journal of Financial Economics, 1996.
3. Sharpe, William: "Mutual fund performance", Journal of Business, 1996.
4．《证券投资基金》组：《证券投资基金》，上海财经大学出版社，2002年。
5．许荣，桂荷发：《开放式基金——投资与管理实务》，中国时代经济出版社，2002年。
6．张建春：《开放式基金——投资、运作与销售》，工商出版社，2001年。
7．孙建东，郭静，张毅：《基金与金融动荡》，经济管理出版社，2001年。
8．徐迁，贺际明，张仕伟：《开放式基金流动性管理研究》，《证券日报》，2003年。
9．一夫：《我国开放式基金的市场环境及流动性管理》，《财经科学》，2002年第四期。
10．马勇 魏薇：《开放式基金流动性风险的成因与防范应对措施》，《上海企业》，2002年第四期。
11．喻洪涛：《开放式基金的流动性管理研究》，国通证券网，2000年。
12．敖晓波：《赎回潮捆扰开放式基金》，《京华时报》，2003年。
13．Terry(美)：《例解商务统计学》(第五版)，清华大学出版社，2001年。
14．中国证券网。
15．和讯网。
2. Chordia, Tarun: "The structure of mutual fund charges", Journal of Financial Economics, 1996.
3. Sharpe, William: "Mutual fund performance", Journal of Business, 1996.
4．《证券投资基金》组：《证券投资基金》，上海财经大学出版社，2002年。
5．许荣，桂荷发：《开放式基金——投资与管理实务》，中国时代经济出版社，2002年。
6．张建春：《开放式基金——投资、运作与销售》，工商出版社，2001年。
7．孙建东，郭静，张毅：《基金与金融动荡》，经济管理出版社，2001年。
8．徐迁，贺际明，张仕伟：《开放式基金流动性管理研究》，《证券日报》，2003年。
9．一夫：《我国开放式基金的市场环境及流动性管理》，《财经科学》，2002年第四期。
10．马勇 魏薇：《开放式基金流动性风险的成因与防范应对措施》，《上海企业》，2002年第四期。
11．喻洪涛：《开放式基金的流动性管理研究》，国通证券网，2000年。
12．敖晓波：《赎回潮捆扰开放式基金》，《京华时报》，2003年。
13．Terry(美)：《例解商务统计学》(第五版)，清华大学出版社，2001年。
14．中国证券网。
15．和讯网。