开放式证券投资基金的风险研究
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摘要
我国从推出开放式证券投资基金至今还只有两年时间，然而其发展异常迅速，在我
国金融市场上的影响力日益显著。对开放式证券投资基金的风险进行深入细致的研究，
具有重要的理论意义和现实意义。本文综合运用理论分析与实证研究相结合的方法，从
宏观和微观两个层面，对我国开放式证券投资基金所面临的主要风险进行了较为全面和
深入的分析研究；并针对分析研究的结论，提出了防范和化解我国开放式证券投资基金
所面临的风险的政策建议与具体措施。
本文主要从以下四个方面来展开研究：
第一、作者从宏观层面讨论了我国股票市场的系统风险，在实证研究部分，作者引
入鞅过程的概念，综合运用多种统计模型对我国证券市场的有效性进行实证研究。结果
显示我国证券市场已经达到弱势有效，基本具备了发展开放式证券投资基金的宏观条
件。同时作者还对我国不同类型的开放式基金的系统风险展开了实证研究。
第二、由于开放式证券投资基金要应对投资者的随时赎回与申购，所以它比封闭式
基金具有更大的流动性风险，作者运用VaR的方法对我国证券市场的流动性风险进行了
实证研究；并且运用数学建模的方法，研究了开放式证券投资基金投资组合的流动性风
险，作者试图建立一个基于流动性风险的最佳投资组合。
第三、由于基金管理公司兼有开放式证券投资基金的发起人与管理人的双重身份，
使得基金持有人的利益有可能得不到有效保障。这种治理结构不利于保护投资者的合法
权益，蕴涵着巨大的管理风险。作者一方面借鉴国外基金治理的成功经验；另一方面综
合运用经济学、管理学、信托法等相关知识，从多个角度探讨我国发展开放式证券投资
基金所面临的内部管理风险，并且提出了相应的政策建议。由于实证研究表明基金缺乏
显著的净值持续增长能力，所以作者认为在评价开放式基金的业绩时，必须更加注重描
述性评价指标。
第四、作者分析了开放式基金所面临的系统风险、管理风险和流动性风险三者之间
的内在关系，并且通过一个数学模型来刻画这种关系。
It is only two years from the first open-end fund being launched in China, hut it grows very quickly. The open-end fund are playing a more and more important role in Chinese capital market. There are great significance in theory and reality, making a systematic and deepgoing research in open-end fund' s risk. This paper analyses macroscopical and microcosmic risk of Chinese open-end fund, applying theoretically and empirically method. The author brings fOorward the politic suggestion and specific method for defending and removing the risk, after analyzing the research result. This paper also brings forward a new train of thought about a full performance evaluation system for open-end funds, combining with its risk. This paper includes four parts as following.
The first part, analyses the macroscopical defact and the reason for these defact in Chinese finance market, also puts forward some politic suggestion. The author draws into the concept about martingale, utilizes synthetical some statistic models to anylse Chinese security market' s efficiency when doing empirical research. The result demonstrates that Chinese security market is a weak efficiency market. It is appropriate for developing open-end funds.
The second part analyses the liquid risk. Because open-end fund can be redeemed and purchased freely on any business day, there are higher liquid risk than close-end fund. The paper studies open-end fund's liquid risk by VaR test, trying to construct a appropriate asset portfolio which based on liquid risk by using mathematical model.
The third part discusses the managerial risk. The shareholder's lawful right can not be protected by fund investment company, because fund investmrnt company has both the duty of sponsor and management. This kind of adminitration structure goes against the protection of shareholder' s right.This paper discusses the inside managerial risk with different visual and puts forward some suggestion, asking for reference abroad from the successful experience in mutual
fund's administration structure on the one hand, synthesizing the knowledge of economics, management and trust-law. The descriptive norm is more important than comparative norm, because we find no persistence based on raw yield,and when compared with yield of market , raw yield is not persistent.
The fouth part discusses the relationship among systematic risk, managerial risk and liquidity risk. This paper try to find a mathematical model describing the relationship.
国金融市场上的影响力日益显著。对开放式证券投资基金的风险进行深入细致的研究，
具有重要的理论意义和现实意义。本文综合运用理论分析与实证研究相结合的方法，从
宏观和微观两个层面，对我国开放式证券投资基金所面临的主要风险进行了较为全面和
深入的分析研究；并针对分析研究的结论，提出了防范和化解我国开放式证券投资基金
所面临的风险的政策建议与具体措施。
本文主要从以下四个方面来展开研究：
第一、作者从宏观层面讨论了我国股票市场的系统风险，在实证研究部分，作者引
入鞅过程的概念，综合运用多种统计模型对我国证券市场的有效性进行实证研究。结果
显示我国证券市场已经达到弱势有效，基本具备了发展开放式证券投资基金的宏观条
件。同时作者还对我国不同类型的开放式基金的系统风险展开了实证研究。
第二、由于开放式证券投资基金要应对投资者的随时赎回与申购，所以它比封闭式
基金具有更大的流动性风险，作者运用VaR的方法对我国证券市场的流动性风险进行了
实证研究；并且运用数学建模的方法，研究了开放式证券投资基金投资组合的流动性风
险，作者试图建立一个基于流动性风险的最佳投资组合。
第三、由于基金管理公司兼有开放式证券投资基金的发起人与管理人的双重身份，
使得基金持有人的利益有可能得不到有效保障。这种治理结构不利于保护投资者的合法
权益，蕴涵着巨大的管理风险。作者一方面借鉴国外基金治理的成功经验；另一方面综
合运用经济学、管理学、信托法等相关知识，从多个角度探讨我国发展开放式证券投资
基金所面临的内部管理风险，并且提出了相应的政策建议。由于实证研究表明基金缺乏
显著的净值持续增长能力，所以作者认为在评价开放式基金的业绩时，必须更加注重描
述性评价指标。
第四、作者分析了开放式基金所面临的系统风险、管理风险和流动性风险三者之间
的内在关系，并且通过一个数学模型来刻画这种关系。
It is only two years from the first open-end fund being launched in China, hut it grows very quickly. The open-end fund are playing a more and more important role in Chinese capital market. There are great significance in theory and reality, making a systematic and deepgoing research in open-end fund' s risk. This paper analyses macroscopical and microcosmic risk of Chinese open-end fund, applying theoretically and empirically method. The author brings fOorward the politic suggestion and specific method for defending and removing the risk, after analyzing the research result. This paper also brings forward a new train of thought about a full performance evaluation system for open-end funds, combining with its risk. This paper includes four parts as following.
The first part, analyses the macroscopical defact and the reason for these defact in Chinese finance market, also puts forward some politic suggestion. The author draws into the concept about martingale, utilizes synthetical some statistic models to anylse Chinese security market' s efficiency when doing empirical research. The result demonstrates that Chinese security market is a weak efficiency market. It is appropriate for developing open-end funds.
The second part analyses the liquid risk. Because open-end fund can be redeemed and purchased freely on any business day, there are higher liquid risk than close-end fund. The paper studies open-end fund's liquid risk by VaR test, trying to construct a appropriate asset portfolio which based on liquid risk by using mathematical model.
The third part discusses the managerial risk. The shareholder's lawful right can not be protected by fund investment company, because fund investmrnt company has both the duty of sponsor and management. This kind of adminitration structure goes against the protection of shareholder' s right.This paper discusses the inside managerial risk with different visual and puts forward some suggestion, asking for reference abroad from the successful experience in mutual
fund's administration structure on the one hand, synthesizing the knowledge of economics, management and trust-law. The descriptive norm is more important than comparative norm, because we find no persistence based on raw yield,and when compared with yield of market , raw yield is not persistent.
The fouth part discusses the relationship among systematic risk, managerial risk and liquidity risk. This paper try to find a mathematical model describing the relationship.
引文
[1]王国刚．我国境内金融市场的对内开方．经济理论与经济管理，2003(1)
[2]吴晓求．资本结构和公司治理．资本市场，2003(4)
[3]胡波，宋文力，张宇光．我国证券市场有效性实证分析．经济理论与经济管理，2002(7)
[4]赵海宽，孙维廉．构建对金融控股公司的监管体系．中国金融，2003(3)
[5]杜海涛．中国股市流动性风险测度研究．证券市场导报，2002(11)
[6]沈维涛，黄兴孪．我国证券投资基金业绩的实证研究与评价．经济研究，2001(9)
[7]陈雨露．国际金融理论前沿问题评述．国际金融研究，2007(7)
[8]景乃权等．论CAPM在我国股市的应用．财贸经济，2001(10)
[9]任凤泽．体制性金融风险：特征，成因及化解策略．内蒙古金融研究，2002(5)
[10]张兵，李晓明．我国股票市场的渐进有效性研究．经济研究，2003(1)
[11]何德旭，王轶强．经济衰退中的美国投资基金：变化与启示．国际金融研究，2002(8)
[12]李操纲，潘镇．共同基金治理结构模式的国际比较及其启示．当代财经，2003(3)
[14]彭孝松，杨义群．应用基金业绩评价模式时几个值得关注的问题．商业研究，2003(20)
[15]赵广辉．开放式基金理论、实务与投资．北京：机械工业出版社，2001
[16]张鸣．投资管理．大连：东北财经大学出版社，2001
[17]王一鸣．数理金融经济学．北京：北京大学出版社，2000
[18]潘英丽，吉余峰．金融机构管理．上海：立信会计出版社，2002
[19]徐芳，赵丽娜．混业绎营—中国会融业发展的必然选择．经济世界，2003(2)
[20]刘传葵．投资基金经济效应论．北京：经济科学出版社，2001
[21]王春峰．VaR：金融市场风险管理．天津：天津大学出版社，2001
[22]宋逢明．金融工程原理．北京：清华大学出版社，2000
[23]陈儒．投资基金运作及风险控制．北京：中国金融出版社，1998
[24]李仲翔，李仲飞．以风险为基础的基金监管现代化．北京：清华大学出版社，2002
[25]潘金根．关于建立我国证券投资基金评价体系的研究．国际金融研究，2003(6)
[26]童文俊．开放式基金的流动性危机：模型、防范与控制．当代财经，2003(6)
[27]蒋中一．数量经济学的基本方法．北京：商务印书馆，1999
[28]刘力．行为金融理论对效率市场理论的挑战．经济科学，1999(3)
[29]中国人民银行货币政策分析小组．中国货币政策执行报告．中国金融，2003(4)
[30]孙培源，施东晖．基于CAPM的中国股市羊群行为研究．经济研究，2002(2)
[31]林毅夫．展望新千年的中国经济．河北经贸大学学报，1999(3)
[32]Campbell, J. Y,A.C. LoMackin. The econometrics of financial markets. New Jersey: Princeton University Press, 1997.
[33]James L. Farrell, Jr. Walter J. Reinhart: Portfolio Management: Theory and Application, 2nd ed. McGraw-Hill Companies. Inc, 1997.
[34]JP Morgan .Risk metric--Technical document. 4th ed. New York:Morgan Guaranty Trust Company, 1996
[35]Dowd K. Beyond Value at Risk. New York:John wiley&Sons, 1998
[36]Frank J. Fabozzi, Franco Modigliani. Capital Markets Institutions and Instruments, 2nd ed. Prentice Hall Inc, 1996.
[37]Chew L. Shock Therapy. Risk managazine, 1994,7:50～61
[38]Falkenstein, E. G. Preferences for stock characteristics as revealed by mutual fund portfolio holdings. Journal of Finance, 1996, 51(1): 111-136
[39]Scharftein, D., and Stein, J., Herd behavior and investment. The American Economic Review, 1990, 80:465-479
[40]Muralidhar, A. S. Optimal risk-adjusted portfolios with multiple managers. Journal of Portfolio Management, 2001, 27(3):97-104
[41]Minor, D. B. Beware of index fund fundamentalists. Journal of Portfolio Management, 2001, 27(4):45-50
[42]Chay,.J.B., Charles, A. Trzcinka,. Managerial performance and the Cross-sectional pricing of Closed-end fund. Journal of Finance Economics, 1999,52(1):379-428
[43]Nanda, V., Narayanan, M. P., Warther, V. A. Liquidity, investment ability,
and mutual fund structure. Journal of Financial Economics, 2000, 57(3):417-443
[44]Detzel, F. L., Weigand, R. A. Explaining persistence in mutual fund performance. Financial Services Review, 1998, 7(1):45-55
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[2]吴晓求．资本结构和公司治理．资本市场，2003(4)
[3]胡波，宋文力，张宇光．我国证券市场有效性实证分析．经济理论与经济管理，2002(7)
[4]赵海宽，孙维廉．构建对金融控股公司的监管体系．中国金融，2003(3)
[5]杜海涛．中国股市流动性风险测度研究．证券市场导报，2002(11)
[6]沈维涛，黄兴孪．我国证券投资基金业绩的实证研究与评价．经济研究，2001(9)
[7]陈雨露．国际金融理论前沿问题评述．国际金融研究，2007(7)
[8]景乃权等．论CAPM在我国股市的应用．财贸经济，2001(10)
[9]任凤泽．体制性金融风险：特征，成因及化解策略．内蒙古金融研究，2002(5)
[10]张兵，李晓明．我国股票市场的渐进有效性研究．经济研究，2003(1)
[11]何德旭，王轶强．经济衰退中的美国投资基金：变化与启示．国际金融研究，2002(8)
[12]李操纲，潘镇．共同基金治理结构模式的国际比较及其启示．当代财经，2003(3)
[14]彭孝松，杨义群．应用基金业绩评价模式时几个值得关注的问题．商业研究，2003(20)
[15]赵广辉．开放式基金理论、实务与投资．北京：机械工业出版社，2001
[16]张鸣．投资管理．大连：东北财经大学出版社，2001
[17]王一鸣．数理金融经济学．北京：北京大学出版社，2000
[18]潘英丽，吉余峰．金融机构管理．上海：立信会计出版社，2002
[19]徐芳，赵丽娜．混业绎营—中国会融业发展的必然选择．经济世界，2003(2)
[20]刘传葵．投资基金经济效应论．北京：经济科学出版社，2001
[21]王春峰．VaR：金融市场风险管理．天津：天津大学出版社，2001
[22]宋逢明．金融工程原理．北京：清华大学出版社，2000
[23]陈儒．投资基金运作及风险控制．北京：中国金融出版社，1998
[24]李仲翔，李仲飞．以风险为基础的基金监管现代化．北京：清华大学出版社，2002
[25]潘金根．关于建立我国证券投资基金评价体系的研究．国际金融研究，2003(6)
[26]童文俊．开放式基金的流动性危机：模型、防范与控制．当代财经，2003(6)
[27]蒋中一．数量经济学的基本方法．北京：商务印书馆，1999
[28]刘力．行为金融理论对效率市场理论的挑战．经济科学，1999(3)
[29]中国人民银行货币政策分析小组．中国货币政策执行报告．中国金融，2003(4)
[30]孙培源，施东晖．基于CAPM的中国股市羊群行为研究．经济研究，2002(2)
[31]林毅夫．展望新千年的中国经济．河北经贸大学学报，1999(3)
[32]Campbell, J. Y,A.C. LoMackin. The econometrics of financial markets. New Jersey: Princeton University Press, 1997.
[33]James L. Farrell, Jr. Walter J. Reinhart: Portfolio Management: Theory and Application, 2nd ed. McGraw-Hill Companies. Inc, 1997.
[34]JP Morgan .Risk metric--Technical document. 4th ed. New York:Morgan Guaranty Trust Company, 1996
[35]Dowd K. Beyond Value at Risk. New York:John wiley&Sons, 1998
[36]Frank J. Fabozzi, Franco Modigliani. Capital Markets Institutions and Instruments, 2nd ed. Prentice Hall Inc, 1996.
[37]Chew L. Shock Therapy. Risk managazine, 1994,7:50～61
[38]Falkenstein, E. G. Preferences for stock characteristics as revealed by mutual fund portfolio holdings. Journal of Finance, 1996, 51(1): 111-136
[39]Scharftein, D., and Stein, J., Herd behavior and investment. The American Economic Review, 1990, 80:465-479
[40]Muralidhar, A. S. Optimal risk-adjusted portfolios with multiple managers. Journal of Portfolio Management, 2001, 27(3):97-104
[41]Minor, D. B. Beware of index fund fundamentalists. Journal of Portfolio Management, 2001, 27(4):45-50
[42]Chay,.J.B., Charles, A. Trzcinka,. Managerial performance and the Cross-sectional pricing of Closed-end fund. Journal of Finance Economics, 1999,52(1):379-428
[43]Nanda, V., Narayanan, M. P., Warther, V. A. Liquidity, investment ability,
and mutual fund structure. Journal of Financial Economics, 2000, 57(3):417-443
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