Research On Measurement And Influencing Factors Of Open-end Fund Risk In China

As a popular financial instrument which is used as a method which implements portfolio, professional management, benefit sharing and risks collective investment method, security portfolio funds have been developing all over the world due to its special institutional advantage.With the fast development of economy and improvement of people's life since the reform and opening-up policy, citizens'consciousness managing finances becomes stronger and stronger. The fund has attracted huge attentions due to its institutional advantages. According to the statistics of WIND, by the end of December 2010, there had been 704 securities investment funds, whose net value is about 2.45 trillion totally. Fund has become one of the most important institutional investors in the security market, its status and role in the financial system becomes more and more important.However, as an emerging market, when compared to developed ones, the security markets in China have exposed many defects such as incomplete rules and regulations, public lacking knowledge of financial risks and necessary measures to prevent risks. With the accelerating of financial globalization trend, financial risks are aggravating. In order to better play the role of funds in optimizing financial structure and advancing the efficiency of distributing resources and promote the healthy development of economy, it appears particularly important and urgent not only to deepen investor s'understanding of fund risks but also to strengthen risk management of fund. As a result, researches on fund risks are drawing heavy attentions from government departments and scholars.Now, many scholars in China have done a lot of relevant researches, especially and mainly in risk valuation and performance evaluation. In terms of the factors influencing fund risks, scholars in China only did some preliminary work instead of systemic research. So, the research on the factors effecting risks of open-end funds has important theoretical and practical significance.In view of this, firstly the paper reviews relevant researches of both domestic and international open-end funds, summarizing theories about open-end funds risks and systematically overviews measurement instruments of open-end funds risks. Then it describes the principle and calculation methods of GARCH-VaR-GED model. Based on it, we have selected a sample of 44 Chinese open-end funds, and analyzed the volatility of returns and VaR value using the data between 2005 and 2009. Then based on the risk factors of open-end funds, the paper selected 13 risk factors and implementation empirical research with panel data model. At the end, based on the above empirical study, we come to the conclusions.Conclusions indicates that the Yield sequence of Chinese open-end funds do not obey normal distribution and the VaR based on GARCH-GED model is a good way to measure the risk of open-end funds. At present, due to the simple structure of Chinese financial products, the fund's risk depends largely on the performance of equity market, which means that it is difficult for funds to resolve the shock of equity market. What's more, factors such as the strength of fund Management Company, the size of fund, allocation of assets and changes in fund managers may also have some influence to the risk.