开放式证券投资基金的风险研究

【作者】 彭孝松；

【导师】 杨义群；

【作者基本信息】 浙江大学 ， 管理科学与工程， 2003， 硕士

【摘要】 我国从推出开放式证券投资基金至今还只有两年时间，然而其发展异常迅速，在我国金融市场上的影响力日益显著。对开放式证券投资基金的风险进行深入细致的研究，具有重要的理论意义和现实意义。本文综合运用理论分析与实证研究相结合的方法，从宏观和微观两个层面，对我国开放式证券投资基金所面临的主要风险进行了较为全面和深入的分析研究；并针对分析研究的结论，提出了防范和化解我国开放式证券投资基金所面临的风险的政策建议与具体措施。本文主要从以下四个方面来展开研究：第一、作者从宏观层面讨论了我国股票市场的系统风险，在实证研究部分，作者引入鞅过程的概念，综合运用多种统计模型对我国证券市场的有效性进行实证研究。结果显示我国证券市场已经达到弱势有效，基本具备了发展开放式证券投资基金的宏观条件。同时作者还对我国不同类型的开放式基金的系统风险展开了实证研究。第二、由于开放式证券投资基金要应对投资者的随时赎回与申购，所以它比封闭式基金具有更大的流动性风险，作者运用VaR的方法对我国证券市场的流动性风险进行了实证研究；并且运用数学建模的方法，研究了开放式证券投资基金投资组合的流动性风险，作者试图建立一个基于流动性风险的最佳投资组合。第三、由于基金管理公司兼有开放式证券投资基金的发起人与管理人的双重身份，使得基金持有人的利益有可能得不到有效保障。这种治理结构不利于保护投资者的合法权益，蕴涵着巨大的管理风险。作者一方面借鉴国外基金治理的成功经验；另一方面综合运用经济学、管理学、信托法等相关知识，从多个角度探讨我国发展开放式证券投资基金所面临的内部管理风险，并且提出了相应的政策建议。由于实证研究表明基金缺乏显著的净值持续增长能力，所以作者认为在评价开放式基金的业绩时，必须更加注重描述性评价指标。第四、作者分析了开放式基金所面临的系统风险、管理风险和流动性风险三者之间的内在关系，并且通过一个数学模型来刻画这种关系。更多还原

【Abstract】 It is only two years from the first open-end fund being launched in China, hut it grows very quickly. The open-end fund are playing a more and more important role in Chinese capital market. There are great significance in theory and reality, making a systematic and deepgoing research in open-end fund’ s risk. This paper analyses macroscopical and microcosmic risk of Chinese open-end fund, applying theoretically and empirically method. The author brings fOorward the politic suggestion and specific method for defending and removing the risk, after analyzing the research result. This paper also brings forward a new train of thought about a full performance evaluation system for open-end funds, combining with its risk. This paper includes four parts as following.The first part, analyses the macroscopical defact and the reason for these defact in Chinese finance market, also puts forward some politic suggestion. The author draws into the concept about martingale, utilizes synthetical some statistic models to anylse Chinese security market’ s efficiency when doing empirical research. The result demonstrates that Chinese security market is a weak efficiency market. It is appropriate for developing open-end funds.The second part analyses the liquid risk. Because open-end fund can be redeemed and purchased freely on any business day, there are higher liquid risk than close-end fund. The paper studies open-end fund’s liquid risk by VaR test, trying to construct a appropriate asset portfolio which based on liquid risk by using mathematical model.The third part discusses the managerial risk. The shareholder’s lawful right can not be protected by fund investment company, because fund investmrnt company has both the duty of sponsor and management. This kind of adminitration structure goes against the protection of shareholder’ s right.This paper discusses the inside managerial risk with different visual and puts forward some suggestion, asking for reference abroad from the successful experience in mutualfund’s administration structure on the one hand, synthesizing the knowledge of economics, management and trust-law. The descriptive norm is more important than comparative norm, because we find no persistence based on raw yield,and when compared with yield of market , raw yield is not persistent.The fouth part discusses the relationship among systematic risk, managerial risk and liquidity risk. This paper try to find a mathematical model describing the relationship.更多还原