The Study On Volatility Of Returns Of Chinese Open-end Securities In Investment Fund

Since the first open-end fund was issued in 2001 in China, Chinese open-end securities investment funds have developed rapidly in just a few years. They have become the mainstream financial instruments of securities investment fund market recently. The open-end fund market has become an important component of Chinese securities market system. In addition, as a part of institutional investors, its proportion has increased. People pay attention to the risk of open-end funds instead of the returns of open-end funds. The returns of stock market always accompany with its risk. Similarly, the volatility of the stock market is inevitable. Therefore, the volatility of the stock market and its impact factors has become the focus of concern. At present, domestic and foreign scholars widely utilize the volatility of returns to depict the risk of financial products. However, after reference to many academic documents, the fact is clear that the research of the volatility has concentrated on the stock market by domestic and foreign scholars. By contrast, there is insufficient attention to the research of the volatility of the open-end fund market. With the development of open-end funds, it is necessary to research the volatility of returns and its influencing factors for open-end funds.In this dissertation, the most representative index--CSI Stock Fund Index was selected for the analysis of the object. And the establishment of GARCH (1,1) model for open-end fund market, the volatility of returns has been researched. At the same time, drawing on event study which was used by other scholars studying the futures market and other financial products, the influencing factors for the volatility of returns of the open-end fund market have been discussed. In this dissertation, herding hypothesis of behavioral finance theory was used to explain the causes of fluctuations of the open-end fund market in the theoretical analysis. Moreover, the adjustment of stamp duty on securities transactions was selected for an example to empirical test the influencing factors. Through theoretical analysis and empirical testing, movements of the volatility of returns of the open-end fund market before and after fiscal policy and monetary policy changes were studied by using event study method. In addition, a few funds from different management companies as some samples were chose to study the change situation of volatility of returns of the counterpart open-end funds after the replacement of the fund manager or investment director by using event study method.Through a series of theoretical analysis and empirical testing, this research arrived at the following conclusion:the yield rate of Chinese open-end fund market has the characteristics of non-normal distribution and conditional heteroskedasticity. There is volatility clustering, a certain degree lag of the information transmission and other characteristics in the same time. The empirical results indicate that GARCH (1,1) model has a good description of Chinese open-end fund market. Herding hypothesis of behavioral finance theory could explain the volatility of returns of the open-end funds in the theoretical analysis. And the explaining is consistent with the realities of Chinese open-end fund market. At the same time, through the empirical testing, it could be found that the fiscal policy and monetary policy are the important factors which cause the volatility of returns of the open-end funds. In general, the replacement of the fund manager is beneficial to narrow the volatility of returns of the open-end funds. But the effect of the replacement of the investment director on the volatility of returns of the open-end funds is not obvious. In view of the above conclusion, several reasonable and targeted suggestions are proposed in this dissertation, such as strengthening market supervision and enhancement self-regulation of the open-end funds, reducing policy interventions by government, and so on. The suggestions also include that the financial product innovation should be accelerated and basic market system construction ought to be improved. Besides these measures, a sound incentive and restraint mechanisms of fund managers will further promote the governance structure and operating mechanism of the open-end funds.