Research On Chinese Open-ended Stock Funds Risk Assessment And Management

For the development of Chinese fund, it takes less than20years when funds were standardized as securities investment funds in1997. What’s more, the history of Chinese open-endeded fund is only for about15years. But the fund field is developing days and days. China has93fund management companies with460billion RMB assets managed until February,2015. Open-ended fund has been a very important investment product and been concerned by investors since born. We China manage1938open-ended funds, with other25close-ended funds.Chinese practical characteristics determine the risk between high-liquidity source of fund and low-liquidity assets that open-ended fund has to face. Under the guide of such risk, fund managers have to put some percentage to high-liquidity assets. Investors can be influenced by instant macroeconomic policies, fund net value fluctuation, market emotion and so on. They then will take steps to do purchase and redemption actions so that open-ended fund may face up with liquidity risk. This paper sorted out open-ended fund liquidity risk theories, obey the logic of "Risk identification, Risk classification, Risk analysis, Risk control and Risk prevention" and analysis the shaping mechanism of open-ended fund liquidity risk and influencing factors.This paper include the main following contributions:First, after summarizing research theories from domestic and overseas paper, analysising the mechanism of open-ended fund liquidity risk, the liquidity risk was classified as an exogenous factor-----redemption risk, and establish framework for norms analysis and empirical analysis, and then penetrate deeply to anaylysis the formation mechanism and impact factors of liquidity risk. Second, fund scale, abnormal return, net dividend, the percentage of institutional investor, the percentage of the top ten stocks are done with descriptive statistics. Third, introduce open-ended fund abnormal return, net value performance, quarterly amplitude, percentage of bank deposit, fluctuation of CSI300and the percentage of top ten stocks factors and make framework of unbalanced panel data. We used descriptive statistics, Unit root stationarity test, Hausman test and Fixed effect test to analysis and account for the influence of the explaining variables to explained variable. Fourth, based on the conclusion from the macroeconomic operation, fund management sector management and three levels of government regulation, we proposed liquidity risk management measures for open-ended funds.