An Investigation On Influence Factor Of The Open-end Fund Investor Liquidity Demand

Severe redemption, accompanied by the rapid development of Chineseopen-ended fund, has caused the liquidity risk. The liquidity of fund assetand liability cannot mutually match results in the liquidity risk, and theliability liquidity is mainly due to the investor's liquidity demand. Thereforeenhancing investigation on the influence factor on the investor's liquiditydemand will help to find corresponding strategies to control the redemptionand be good for the healthy development of Chinese open-ended fund.Investors with different risk preference invest different style fund andhave different liquidity demand. This paper studied the influence factor onthe investor's liquidity demand from aspects of traditional economic theoryand behavioral finance. Finally, this paper empirically investigates theseinfluence factors with statistic method, using a set of quarter data during2004 and 2005 from equity fund, allocation fund and bond fund respectively.The research result show that the investors' liquidity demand isinfluenced by many factors, such as investor sentiment, securities businesssituation, fund performance and so on, and the influence effect on that ofdifferent style fund investors is different: Good current securities businesssituation will restrain the liquidity demand of equity fund and bond fundinvestors, but boost that of allocation fund investors; good current net valueaccretion rate and dividend will restrain and boost the liquidity demand ofequity fund and allocation fund investors respectively; proactive herding exists in the liquidity demand of equity fund and allocation fund investors,not in that of bond fund investors; size effect and the structure of investorswill influence markedly that of equity fund and bond fund, and have noapparent effect on that of allocation fund; Redemption fees have not playedits due role on restraining the liquidity demand of investors.