A Study On The Liquidity Risk Of Chinese Open-end Funds

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.