Empirical Analysis Of China's Open-end Fund Liquidity Risk And Risk Management Research

There are more than 300 open-end funds of all kinds issued around China since Huaan innovation fund, the first open-end fund in China, was permitted to issue at September 4, 2001. From depressed to boom, open funds in stock market experience numerous redeems of huge value. Especially, the 10-billion-scale and excessive investment passion expose the liquidity risk of open-end fund. Thus, the study of liquidity risk management of open-end fund becomes an urgent task.This paper studies the purchase and redemption of open-end fund in China, using net redemption growth ratio to reduce liquidity risk, trying to analyze the influence of changing net value lucre ratio on investor's purchase and redemption behavior. Then, a set of open-end fund management plan on liquidity risk is given.The paper starts with introducing the relative background and significance of liquidity risk, then, the relationship between liquidity risk management of domestic open-end fund and fund redemption is given, at last, the current status of open-end fund management both domestically and abroad is introduced. Chapter two introduces open-end fund redemption and unit net value. In this chapter, after the definition and property of open-end redemption and unit net value are pointed out, domestic and foreign study on redemption behavior is introduced. Chapter three entitled the base of model measuring and modeling introduces relative theories, especially seasonal adjustment theory, panel data unit roof test theory and panel integration test theory. Chapter four gives an empirical study on liquidity risk of open-end fund and established seven panel date models of funds, comparing the relationship between net redemption growth ratio and unit lucre ratio, indicating that not all kinds of fund has a remarkable minus correlation between these two factors, also, reasons resulting to this phenomena is give. Chapter five prompts policy proposals on liquidity risk management and sums up this paper. After analyzing the research result and combining the practical facts, detailed proposals on liquidity risk management are put forward. Insufficiency and imperfect of the paper is also mentioned at the end of the paper.