The Research On Liquidity Risk Of The Stock Portfolio Of The Open-End Fund

It is one of the most important functions of market to make investors transact rapidly and efficiently at the less cost, which means that market must be enough liquid. The liquidity of market can offer investors chances to transact. If market is short ofliquidity, transactions are difficult to be finished and market does not need to exist. So we can make this conclusion that liquidity is the all of market. The character of open-end fund is open which makes more sense the necessity of liquidity. The liquidity directly makes effect on the development and existence of fund. However, the assert market and the derivative financial tool overseas is rather more mature, foreign scholars seldom focus on the research of open-end fund, they mostly focus on the daily management of liquidity. The domestic scholar research in this aspect is just in the beginning moment, most researches just base on the analysis of the overseas research paper, and they only study on comparing the data or make qualitative analysis, there is no research on demonstration analysis, and what' s more there is no study on how to measure the liquidity risk of the open-end fund. In this paper, it is considered that, it is very important for the development of the open-end fund in our country to research on the quantitative analysis of the liquidity risk of the open-end fund. The present research is conducted in the following logic sequences. It is said that the liquidity risk of the open-end fund in our country has a very high relativity with the liquidity of the stock assert of the open-end fund, which is based on the environment of the investment of the open-end fund in our country, So we can control the liquidity risk of the open-end fund by controlling the liquidity risk of the stock assert. Then, this paper introduce a new method of measuring the risk——Cohesive Value at risk (CVaR), which is more logical than the VaR on optimizing the portfolio According to the characteristic of the stock bargaining market of our country, it constructs a corresponding index of liquidity risk of the stock assert of the open-end fund, and by constructing a optimized model in CVaR, the liquidity risk of stock assert of the open-end fund is efficiently controlled.This thesis shows:(1) the liquidity risk of stock assert of the open-end fund shows an obvious tailed risk.(2)It can efficiently control the liquidity risk of the stock assert of the open-end fund by the CVaR optimized model.(3)the proportion of the stock...