Research On The Management Of Liquidity Risk Of Open

Since September. 2001, Hua An Chuang Xin was established as the first one, Chinese open-end funds begin to rapidly development and have become the main force exceeding the size of close-ended funds. Comparing with the close-ended fund , free purchases application and the redemption are the most remarkable innovation of the open-end fund. However, the system of redeeming also cause the liquidity risk that the open-end fund is difficult to avoid. Such institutional design was advantageous to attract the more investors participation, increasing the scale of the fund. But such institutional arrangement inevitably produced the liquidity need, namely the fund supervisor has had to maintain certain proportion the cash and other high liquidity properties to manipulate the redemption request of the investors. Once the redemption request was not met. the liquidity risk came, going into liquidation extremely. So the analysis of the liquidity risk's formation mechanism so as the influence factors can help fund manager to build risk management system for liquidity risk. This article unifies the our country concrete national condition, first proposed the open-end fund as well as the liquidity risk question, and mainly analyzed the liquidity risk formation mechanism, which is a regeneration process which redeems by the fund investor causes. But looked from the deep level reason that the open-end fund property profit and the liquidity contradiction is its liquidity risk root. Beginning with the balance sheet of open-end fund, analyzes the liquidity risk from the view of liability and asset respectively. From the perspective of liability, the redemption of investor is the source of liquidity risk. Builds the critical condition model for investor redemption, and analyzes the transmission mechanism of each factor that influencing investors' redemption behavior in detail. Then, establishes multivariable linear regression model to analyze the real redeeming rate of open-end fund, finding that just a few factors is significant in statistic. Form the perspective of asset, the liquidity of asset must match that of liability. When selecting the asset portfolio, fund manager should consider the correlations among assets and the heavyweight stock. At last, gives suggestions from the two views for building the liquidity risk management system.