The Research On Market Risk Of Open-end Fund In China

China's open-end fund market is an emerging market, mainly depending on development of macroeconomic and the securities market, which are also at the process of reform, development and improvement. For open-end fund managers, the biggest uncertainty is the risk from the market, and market risks can test fund managers' selective ability and timing ability and the ability to control risks. There is, therefore, theoretical and practical significance to analyze, response ,and resolve the open-end fond market risk.With 20 years' development, China's securities market, especially the stock market, is text effective. On the other hand, there is a clear feature of "policy market" ,in addition, investors are not so mature, which cause the market fluctuating unrationally with "herding" and " Butterfly" Effect. Therefore, open-end fund managers should constantly adjust portfolio considering the fundamentals and technical aspect, investors behavioral factors, even the changement of all these factors.The purpose of this dissertation is to analyze precisely the real state of market risk of open-end fund , according to the internel logic of the resourse of risk,mechanism of risk formation, risk quantification ,and their impact on the performance, and to study the resourse of market risk, risk identification, risk quantification, risk control and the transmission mechanism of market risk on open-end fund performance .We hope to establish a more comprehensive framework, methods to analyze the open-end fund market risk. Based on this thought, the structure of this paper is divided into eight chapters, main part from the second chapter to the seventh, related issues were carried out.The first chapter , the topic of this paper, briefly reviews the open-end fund development in China. Based on a general overview of the domestic and foreign literature, this chapter provides study ideas and framework , as a guideline for the next.The second chapter , first ,gives a system overview of China's open-end fund .Open-end funds have such an important mission in China's capital market because of professional financial advantages, rational investment behavior and economics of scale. Joint venture funds in China are in progress now, and their business philosophy has been widely accepted by the market, as a benchmark in acceleration of the innovation fund, raising standards of corporate governance, internal control and risk prevention and so on, and raise the fund industry's overall quality. China's open-end fund developes quikly, with a large number and many types, but Fund's core assets dominate and occupay the A-shares main resources and have a serious adverse effect for non-core assets. Much capital was concentrated in a handful of stocks, which is not conducive to the function of resources allocation, and in a certain extent, is not helpful for stability and coordination in the capital market development. China Fund Distribution overly concentrated in equity funds, money market funds and bond funds is relatively stagnant, and this can't meet companies, financial institutions and individuals demand for a short-term investment on the money market fund. Therefore, the risk of open-end fund similar to that of the stock market, is vulnerable to the risk of stock.Another focus of this chapter is to analyze the macroeconomic background on which the open-end fund in China relying, note that in recent years China's high-speed economic growth by investment-driven has brought about a series of problems. In order to curb overheating investment, monetary policy has entered a cycle of interest rate increases, the huge trade surplus has brought pressure on the appreciation of renminbi, equity division reform has brought vitality and wealth expected to the stock market, the excess liquidity problems attendant, and the import and export of industrial products so that the structural adjustment of the tax policy will continue to adjust, the case for the stock market, good and bad will frequently occur in combination, and the stock market has increased the frequency of the shocks, and investors can't form a stable expectation, creating an open-end fund market risk factor.Chapter III, based on the wide variety of sources of open-end fund market risk, first raises these risks into process risk and selective risk, discuss the risk of national policy, the economic cycle conversion risks, monetary policy risks and formation mechanism the listing of companies. Finally, based on the use of nonlinear programming method , this chapter has a empirical analysis for the open-end fund investment portfolio and optimal allocation of indusrty, and drives more significant conclusionsby the form of mean-variance modelIn the fourth chapter ,we analyze the interrelationship between macroeconomic and an open-end fund market volatility , especially the test of market efficiency of open-end fund. through empirical analysis, we drive a conclusion that the open-end fund market, Shnaghai A-share market and the Shenzhen A-share market are weak-effective, the bond market is not weak-effectiveness, which in turn, because the expected yield of bonds is lower whether institutional investors or indivdual investors have little to be concerned with it, therefore they often lack transactions, brisk enough, not having the necessary liquidity . Further, we conclude that the four markets above are not of strong efficiency.Chapter V , first proposes the importance of net value fluctuation of open-end fund ,then analyzes four different types of open-end fund net return, using a combination of modern statistical and econometric methods. Conclude that the stock Huaan Innovation Fund fluctuations in the value of real model for ARMA or GARCH, But the other three types of fund net real volatility model for EWMAChapter VI analyzes the risk value for log-returns of open-end fund net return using the major fluctuations model bove, and concludes that the Christoffersen test is the best model for VAR.Chapter VII is permeated with the thought of using performance to understand open-end fund market risks. For most investors, there is no one simple indicator to understand the risks of investment funds, and the performance measure meaning risk factors, and the risk factor is the combination of market risks .This chapter is mainly conducted an empirical analysis. we analyze open-end funds selectivity and market timing ability under volatility clustering , through adding GARCH model to TM and HM models ,using the weekly returns of 15 open funds established before 2003. Conditioning on timing volatility, we find that traditional TM and HM models overestimate the fund managers' selectivity and the systemic risk of portfolio. Therefore, in order to measure more precisely funds performance or the selectivity and timing ability, GARCH effect should be considered.Chapter VIII draws a conclution of this dissertation and brings forward some outstanding issues.