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A Study of the Liquidity Risk of Open-end Fund in China

Author: ShiHong
Tutor: LiuRongMao
School: Nanjing Agricultural College
Course: Finance
Keywords: open-end fund liquidity risk redemption risk management
CLC: F832.51
Type: Master's thesis
Year: 2009
Downloads: 38
Quote: 0
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Abstract


Open-end funds as a kind of majority investment do not have a long history in China, open-end funds has made great progress since the first open-end was issued in 2001.and so far there are 442 open-end fund which have 2575 billion units But at the same time, the phenomenon of the large-scale redeeming in the whole open-ended fund industry took place very quickly in the market, which is not good to our open-ended fund’s development, the liquidity risk has becoming more and more evident, The liquidity risk of Open-end funds refers to the uncertainty that fund managers can redeem portfolio at stable price in a given period when a large withdrawal occurs, the redemption system is the original reason of the liquidity risk of open-end fund, the purpose of this paper is to improve the management of the open-end fund based on studying liquidity risk of the open-end funds.The study begin with the open-ended fund’s concept、characteristic, then through analysis of the liquidity of the open-end fund we will define the concept of liquidity risk, and use principal-agent theory to study formation mechanism of liquidity risk, as well as discuss the course of liquidity risk.In this part we introduce the development as well as redemption of open-end fund in china, study the characteristic of liquidity risk of open-end fund in our country including the financial market and system and asset structure.To study the redemption is the most important part of the paper, Based on the theoretical and empirical studies at home and abroad, this paper classifies the net outflows’ factors into these sorts, including security market level, fund performance, investor structure, the dividend and the scale of fund, fees and exist time, the brand, invest strategy of fund, investor’s demand and mood…Then we use semi-year data from 2005 to 2008 to establish model Panel data model in which the change of scale of China’s equity fund is the dependent variable while the factors mentioned in previous chapter are independent variables, and use the Pooled EGLS to analyze the redemption of open-end funds. The conclusions are as follows. The redemption of open-end fund in current quarter is significantly positive correlated with the quantity of dividend in last quarter, different kind of open-end fund have different correlations with the growth rate of NAV in this semi-year and NAV in sum, with the return of stock market in current quarter, and the scale of the fund do not effect The redemption of open-end fund significantly.In the end, we make some suggestions in the management of liquidity risk of the open-end fund, such as the management of liquidity of open-end fund and system and interior management of fund management companies,.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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