Study On The Influence Of Co-holding To The Return And Risk Of Chinese Fund Family

Chinese fund is at the rapid development stage, which is already the important component of Chinese capital market. Fund family is one of the trends of the development of Chinese fund industry, which is also influencing the investment behavior of fund managers and investors. On the one hand, the aim of fund family is to achieve the profit maximization of fund family, which is not completely the same with the profit maximization of fund under fund family. On the other hand, investors who make reinvestment in the same fund family can enjoy lower transaction cost and information searching cost. Therefore, paying close attention to the overall return and risk of fund family is of great necessity for fund family administrators, investors and supervision authorities.Through analysis, this paper found that of the numerous causes influencing co-holding among funds, fund family is one of the important causes. After calculating the internal co-holding ratio and external co-holding ratio of each fund family, it has been proved by test that there exists distinct difference between the internal and external co-holding ratios of each fund family. Moreover, this paper theoretically proved that internal and external co-holding ratios have non-linear influence to the return and risk of fund family. Finally, this paper reviewed and reorganized return and risk measurement theory, and confirmed the empirical model.This paper selected various data of 20 fund families from September 1st,2003 to December 31st,2012 to carry out empirical test. Firstly, the return of fund was evaluated by relative yield, and the probability density function of the return of each fund family shall be compared with normal distribution and t distribution, and carried out with JB test. It was found that the yield of fund family exist the phenomenon of fat tail. Secondly, stochastic volatility (SV) model was utilized to respectively calculate the volatility ratio of stochastic error to normal distribution, t distribution and GED distribution. After calculating and testing the Value at Risk (VaR) and Condition Value at Risk (CVaR) of each fund family under each different distribution, CVaR-SV-t model was selected to calculate the risk of each fund family. Thirdly, the relation between unit risk return and the internal and external co-holding ratios was analyzed and obtained by adopting panel date model, which also solved the optimal internal and external co-holding ratios. Finally, three groups of samples were selected as per the high, middle and low of internal and external co-hold ratios, the impulse response of return to risk was analyzed by applying panel VAR model. It was identified that when the internal and external co-hold ratios are moderate, the increase of unit risk can bring higher return; when the internal and external co-hold ratios are low, the increase of unit risk can bring lower return; and when the internal and external co-hold ratios are high, the increase of unit risk would on the contrary, decrease return.