Empirical Study On The Impact Of Economic Policy Uncertainty On Open-ended Equity Fund's Liquidity

Faced with many internal and external problems,China's economic policy uncertainty has increased significantly.The existing research on economic policy uncertainty focuses on its impact on macroeconomic and corporate behavior decision-making,but there is little research on financial funds,and the fund's liquidity problem is one of the core issues of fund management.Therefore,this paper conducts an empirical study on the impact of Economic Policy Uncertainty on the liquidity of fund assets,and examines how the fund will manage the liquidity of assets when faced with uncertain economic policies.This paper uses 156 open-end equity funds from January 2007 to December 2017 as the research objects,then build the non-balanced panel model,and from fund's cash holding ratio and fund portfolio liquidity two aspects to examine the liquidity of the fund.Firstly,we study the impact of Economic Policy Uncertainty on the fund's cash holding ratio,and discuss the differences in cash holdings of different scale's funds when facing Economic Policy Uncertainty.Next,the Amihud illiquidity index is used as the agent of stock and fund liquidity,in order to study the impact of Economic Policy Uncertainty on the liquidity of the fund's shareholding portfolio.And further study explores how the fund allocates high and low liquid stocks when facing uncertainty.Empirical studies shows that:(1)Economic Policy Uncertainty has a significant positive impact on the fund's cash holding ratio.Besides,compared to the small-scale fund,the large-scale fund will hold a higher proportion of cash holdings.(2)The uncertainty of economic policy has a significant positive contribution towards the liquidity of fund holding portfolio.Moreover,the uncertainty of economic policy also has a significant positive impact on the proportion of high liquidity stocks,while it has a significant negative impact on the shareholding ratio of low liquid stocks.(3)The above asset allocation can be explained by liquidity requirements and investment requirements.This study provides theoretical basis for fund asset allocation and liquidity management in China,and provides reference suggestions for the government to formulate macroeconomic policies and maintain financial market stability.