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Study On Differences Of Investment Risk Between Bear Market And Bull Market For Securities Investment Fund In China

Posted on:2009-08-02Degree:MasterType:Thesis
Country:ChinaCandidate:D B YuFull Text:PDF
GTID:2189360245987738Subject:Finance
Abstract/Summary:PDF Full Text Request
With the development of security market of China, close-end funds have been left out of consideration and numerous investors have favored open-end funds which have exceeded close-end funds whether in quantity or scale. In 2007, close-end funds had brilliant performance, with its increase of 122.25% in net asset value (NAV) return on average. Because of discount level down continuously, the earnings of market prices in secondary market were even better than NAV returns. Furthermore, NAV of open-end funds also had a radical rise with its increase of 115.61% on average, especially in which index funds had 131.25% increases on average by the top of all kinds of funds. But because of the influence of international economy and the need of adjustment itself, in 2007's fourth quarter and 2008's first quarter, A-Share index at Shanghai Stock Exchanges almost slumped to half from 6124. All kinds of funds dropped badly in NAV. Investors have become to pay close attention to the investment risk again. The problems whether security investment funds can manage finances professionally, and which kind of funds should be chosen in different market phases are all the focus which are concerned by investors.In recent years, VaR method has gradually become a finance risk measuring method that is always adopted by most foreign financial institutions, and it has already become the sector standards of risk management. Moreover, it has advantages that can't be compared to other traditional measuring methods. The research of this thesis is launched to introduce VaR into the risk measuring and performance valuation of security investment funds. This text adopts many analytical methods, such as theory discussing, mathematics modeling and empirical testing. Firstly, according to the existing computing technology of VaR, combining the rate of return's distribution characteristic of the security investment fund of our country, the paper studies VaR calculating model which suits the security investment funds of our country. Then, it calculates statistical estimated values of VaR and RAROC investing different kinds of funds in accordance with bear and bull market. At last, by comparing, it can be found out that no matter when is bear or bull market, the VaR and RAROC indices of investing stock-biased open-end funds are much better than that of investing close-end funds and index funds, and only the return in bull market is less than other two kinds of funds. The security market of China will be maturer gradually and the long-term straight rise like 2006 and 2007s'bull market will hardly recur. The market will be up-and-down for the most part in the future, but not only one-side. So in such circumstances, it will be the better choice to invest stock-biased open-end funds for a long term. And we should develop the stock-biased open-end fund and innovative funds that integrate different funds'advantages, such as ETFs, LOFs and innovative close-end funds with great exertion.The innovation of this paper is mainly embodied in the application to VaR model: (1)At present, a great quantity of researches on VaR model mainly concentrate on mathematics modeling, parameter estimating and different VaR models comparing. By calculating VaR models and comparing VaR indices, this research aims to bring up some investment advice to investors. (2)Indices can reflect true situations of security investment funds only when estimating models in different market phases, but this idea is never found in other VaR model research. This paper compares indices explicitly between bear and bull market to make clear whether risk and performances of different phases are obviously different or not. (3)All existing researches are to compare the same kind of funds in different time but not in different kinds. This study measures investment risk of close-end funds and open-end funds simultaneously in order to make clear whether risk of investing two of them is obviously different or not.
Keywords/Search Tags:close-end fund, open-end fund, bear market, bull market, VaR
PDF Full Text Request
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