中国开放式基金流动性溢价及流动性风险溢价研究

发布时间：2018-01-19 23:30

本文关键词： 开放式基金流动性溢价流动性风险溢价 Fama-Macbeth回归 LCAPM模型　出处：《湖南大学》2014年硕士论文　论文类型：学位论文

【摘要】：著名学者O’ Hara（2003）指出金融市场的两个基本功能就是提供价格发现和流动性。然而流动性问题一直没得到足够的重视，直到上世纪八十年代以来，多次发生的流动性危机事件，才引起了监管者及研究者们对流动性及其风险的重视。金融市场并非时刻具有良好的流动性，在这些危机中，市场流动性突然消失、交易成本显著增加及证券价格急剧下跌等一系列反应导致市场失灵。更为严重的是，金融市场的危机具有传染性，从一个市场传染到另一个市场从而威胁到整个金融体系的安全和稳定，进而影响到实体经济的正常运转。如今，基金产业已与银行业、证券业、保险业成为现代金融体系的四大支柱，在基金产业内部，开放式基金又是基金业的主流。开放式基金的契约特色、产品特性和运作特点，导致其具有难以避免的流动性风险。因此，本文基于金融市场微观结构理论，对中国开放式基金流动性风险演变规律及其对资产定价的影响进行研究，以期为投资者理性投资，证券监管部门维护市场流动性和防范流动性危机提供参考。本文以Amihud（2002）非流动性比率指标来度量开放式基金流动性，采用Fama-Macbeth横截面回归模型和LCAPM模型对中国开放式基金流动性溢价及流动性风险溢价是否存在进行实证研究。选择30支具有代表性的开放式基金作为研究样本，并在整个时间段内将市场分成牛市和熊市，，从而考察流动性溢价和流动性风险溢价在不同市场态势下是否具有不同表现与特点。研究结果表明，市场风险溢价在整个时间段上和牛市状态下都显著存在，但在熊市状态不存在；流动性溢价在整个时间段及牛市阶段下不存在，但是在熊市阶段显著存在；而流动性风险无论是在整个时间段上还是在牛熊市阶段，均没有表现出显著的溢价，因此，中国开放式基金市场并不存在显著的流动性风险溢价。
[Abstract]:O'Haraan 2003, a famous scholar, pointed out that the two basic functions of financial market are to provide price discovery and liquidity. However, the liquidity problem has not been paid enough attention to. It is not until -20s that many liquidity crisis events have aroused the attention of regulators and researchers on liquidity and its risks. Financial markets do not always have good liquidity. In these crises, a series of reactions, such as the sudden disappearance of market liquidity, the significant increase in transaction costs and the sharp fall in securities prices, have led to market failures. What is more, the crisis in financial markets is contagious. Contagion from one market to another threatens the security and stability of the entire financial system and thus affects the normal functioning of the real economy. Nowadays, the fund industry and the banking, securities and insurance industry have become the four pillars of the modern financial system. Within the fund industry, open-end funds are the mainstream of the fund industry. The characteristics of product and operation lead to the inevitable liquidity risk. Therefore, this paper is based on the financial market microstructure theory. This paper studies the evolution law of liquidity risk of open-end funds in China and its influence on asset pricing in order to provide reference for investors to invest rationally, securities supervision department to maintain market liquidity and prevent liquidity crisis. This paper measures the liquidity of open-end funds by the index of illiquidity ratio. An empirical study on the existence of liquidity premium and liquidity risk premium of open-end funds in China is carried out by using Fama-Macbeth cross section regression model and LCAPM model. Sex of open-end funds as a research sample. And the market is divided into bull market and bear market in the whole time period, so as to investigate whether liquidity premium and liquidity risk premium have different performance and characteristics under different market situation. The results show that the market risk premium exists significantly in the whole period of time and in the bull market, but does not exist in the bear market. The liquidity premium does not exist in the whole period of time and in the bull market, but it exists significantly in the bear market. However, liquidity risk does not show significant premium either in the whole period of time or in the bull and bear market. Therefore, there is no significant liquidity risk premium in China's open-end fund market.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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