Research On Risk-free Arbitrage And Redemption Risk Of Graded Funds

After the outbreak of the stock market disaster in 2015,China's capital market suffered a huge impact.The scale of rating funds has shrunk dramatically,and a large number of graded funds have caused fluctuations.After the stock market disaster,China's financial market continued to slump.At this time,controlling financial market risks and reducing financial market volatility became important factors in determining the stable development of China's financial markets.The existence of risk-free arbitrage opportunities in graded funds increased the volatility in the market price of graded funds.The existence of a multiple of leverage magnifies the risk of the transaction.By analyzing the monthly data from 132 open classification funds in China's capital market from June 2015 to December 2016,we hope to find out the correlation between the overall risk-free arbitrage opportunity and redemption risk.It provides a theoretical support for the pricing of graded fund offerings,provides a new analysis idea for setting initial leverage ratio,and provides an effective reference indicator for fund managers to control liquidity risk.132 open-ended graded funds in China's capital market were selected.Each graded f und was tested using the JO test.Among them,67 graded funds passed the JO test,indi cating that there was a risk-free arbitrage opportunity for partial graded funds in the sam ple period.Therefore,by constructing the proxy variable of the overall premium positive arbitrage opportunity and the overall discounted reverse arbitrage opportunity,the static p anel model of the overall premium non-risk arbitrage opportunity and the grading fund r edemption risk is established.The empirical results show that the overall premium risk-fr ee arbitrage opportunity has a significant negative correlation with the redemption risk of the grading fund,and the regression coefficient of the overall premium positive arbitrag e opportunity is significantly positive,indicating that positive arbitrage opportunities are o ne of the factors affecting the growth of net cash flow from graded funds.Although the r elationship between overall discount risk-free arbitrage opportunities and redemption risk are not significant due to the overall economic environment,the existence of an overall discount risk-free arbitrage behavior is still one of the important factors leading to rede mption risk of classified funds.The initial leverage ratio has no significant correlation wit h the emergence of risk-free arbitrage opportunities for graded funds.Therefore,under th e premise of fixed transaction costs,the deviation of the net value of the parent fund an d the market price of the sub-fund is the main factor affecting the risk-free arbitrage op portunities.The investor sentiment index is closely related to the net cash flow of graded funds and is an important factor affecting the redemption risk of graded funds.