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Study on the Liquidity Risk Management of Open-End Fund in China

Author: LiYang
Tutor: LuoJianChao
School: Northwest University of Science and Technology
Course: Finance
Keywords: open-end fund liquidity risk redemption value at risk
CLC: F832.51
Type: Master's thesis
Year: 2009
Downloads: 158
Quote: 0
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Abstract


Open-end funds in China have been developing rapidly since Huaan innovation, the first open-end fund in China, was permitted to issue in September 2001.By December 312008, China had have 442 open-end funds. Open-end funds in China security market has become important institutional investors and their impact on the security market has been growing, too. Unfortunately, the liquidity risk resulting from redemption is becoming increasingly serious. So, research on the liquidity risk management of open-end fund has become an extremely important and urgent task under such a condition. The research will benefit not only investors but also fund company. With the help of the research, the former can buy open-end funds wisely and the later can prevent and resolve the liquidity risk effectively. Qualitative research in China is insufficient owing to the short history of open-end funds. Therefore, this thesis on the basis of China’s actual conditions does research on liquidity risk management of Chinese open-end funds drawing on the experience of foreign studies.In this paper, combined with the use of qualitative and quantitative methods, GARCH-VAR model is used to do empirical analysis. The measures of liquidity risk is based on the results of empirical analysis. This thesis is divided into six chapters.The first chapter is the introduction. It mainly elaborates the background, aims, significance, the current related study, the ways and methods of the study, and the probable innovations of this paper.The second chapter introduces the basic theory of liquidity risk of open-end funds. It includes the definition of liquidity risk, the possible losses in liquidating an investment position without taking a significant discount from current market value. the reasons of liquidity risk, which is due to redemption freely. In fact, the reasons of liquidity risk result from the contradiction between profit and liquidity.The third chapter introduces the development of mutual fund, especially the development of open-end funds in China.The fourth chapter is empirical analysis using GARCH-VAR(value at risk)model on the basis of 32 open-end funds.“Herd behavior”of fund managers and similar investment style are found and then analyze the specific reasons.The fifth chapter presents the prominent problems of liquidity risk management of open-end fund in China. The sixth chapter puts forward how to manger liquidity risk of Chinese open-end funds from fund company’s angle and market supervisor’s angle, such as the establishment of early warning system, the setting-up of internal risk control system, the development of Chinese capital market, the reinforcement of laws and regulations.

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