基于VaR的开放式基金流动性风险的实证分析

Empirical Analysis of Liquidity Risk in Open-end Fund Based on VaR

中文关键词:  开放式基金  流动性  VaR

英文关键词:catering enterprise    chain operation    corporate cuhure    copying corporate culture

中文摘要:

      本文运用计量方法VaR思想构建了流动性风险测度的L-VaR模型,对我国2006年以前成立的48只股票型开放式基金的流动性风险进行了测度。实证结果显示:测度的开放式基金都存在一定程度的流动性风险,流动性风险值较为接近,说明部分基金管理公司在管理风险、选股和选择市场机会等方面的能力是相近的,容易形成基金选股的“羊群效应”;基金管理公司旗下各基金投资目标的风格与流动性风险水平基本一致,但同种风格基金的流动性风险值差异不大。此结论为基金管理规避风险提供了理论依据和指导途径。

英文摘要:

      With econnmetrical technique of VaR idea,this paper constructs an L-VaR model to measure the liquidity risk of 48 shares,which were open-end funds set up in China before 2006.The empirical result indicates that there exists a liquidity risk in every open-end fired tested,with the liquidity risk value very close to each other.It shows that some fund management companies possess similar capabilities in risk management,stock selection and market opportunity grabbing,which tends to form“Herd Behavior Effect”in stock selection.The result also indicates that the investment styles for each fund under those fund management companies are in conformity to liquidity risk level,with little difference in liquidity risk value of the same style fund, which provides a theoretical foundation and guidance for fund management on how to avoid risks.