我国货币市场基金赎回风险研究

发布时间：2018-05-08 17:42

本文选题：货币市场基金 + 赎回风险　；参考：《复旦大学》2014年硕士论文

【摘要】：随着金融市场的不断发展,货币市场基金也走在了金融创新的前列,并逐步进入越来越多人的视线。2013年,互联网销售基金快速发展,带动了货币市场基金规模大幅度增长,其中最具代表性的“余额宝”所对应的天弘增利宝基金从2013年6月建立,仅用了半年多时间便中国货币市场基金规模榜首,并跻身世界第七。货币市场基金以其低风险、低费率以及较高的流动性成为了金融市场重要的投资工具,并且对于有效配置金融市场资源能够起到很好的自动调节作用。互联网金融的创新以及T+0赎回机制的广泛推行也大大增加了货币市场基金的便利性。但同时应当意识到,货币市场基金并非完全没有风险,正因为投资者能够随时申购和赎回基金,对基金本身而言,就会引起由于流动性问题而带来的赎回风险,这就给基金的管理和监督带来了新的挑战。对货币市场基金赎回风险的分析与研究,对市场监管方、基金管理人以及投资者而言,都是非常有意义的。目前国内外对于开放式基金的赎回现象研究大都集中于股票型基金以及债券型基金中,专门针对货币市场基金赎回现象的研究比较少,而我国货币市场基金现在正处在一个高速发展期,采用何种模式发展,都是需要摸索和探讨的。我国不少学者在进行赎回现象的实证分析时,都发现存在中国的“赎回之谜”,即赎回率与收益率正相关。但货币市场基金本身的诸多特点,比如投资对象多为无风险标的、无法从基金净值体现收益率等等,都与其他的开放式基金存在着不同。而针对我国货币市场基金所进行的的研究大多是我国货币市场基金成立初期进行的,当时无论是货币市场基金的数量、规模,还是金融市场自由化程度远远比不上今天,囿于数据的可得性,大都作为一种经验的介绍以及国外发展模式的借鉴,鲜有实证研究。本文在国内外学者对于基金赎回现象研究的基础上,参照我国货币市场基金的发展现状,对货币市场基金这一轮发展中的赎回风险进行理论分析和实证研究,采用了计量经济学的模型,对80个货币市场基金样本自2012年至2013年区间各季度的面板数据建立多元回归,估计各参数的正负和大小,并判断显著性。结果显示货币市场基金的净赎回率受到收益率以及基金规模的影响,并且上一期的赎回情况亦是影响本期赎回的因素,而基金成立的时间以及被近来广泛采用的T+0赎回机制对净赎回率影响并不明显。通过一系列的理论与经验的论证,加上实证检验,最后给出了我对于货币市场基金赎回风险的对策建议以及所受到的启发。
[Abstract]:With the continuous development of the financial market, money market funds have also been in the forefront of financial innovation, and gradually entered the sight of more and more people. In 2013, the rapid development of Internet sales funds led to a large increase in the size of money market funds. One of the most representative of the "Yu'e Bao" corresponding to the Tianhong Zenglibao Fund established in June 2013, it took only more than half a year before China's money market fund size top, and ranked seventh in the world. With its low risk, low rate and high liquidity, money market funds have become an important investment tool in the financial market, and can play a good role in automatic regulation for the effective allocation of financial market resources. The innovation of Internet finance and the extensive implementation of T 0 redemption mechanism also greatly increase the convenience of money market funds. But at the same time, it should be realized that money market funds are not completely risk-free, precisely because investors are able to purchase and redeem funds at any time, and for the fund itself, there is a risk of redemption arising from liquidity problems. This brings new challenges to the management and supervision of the fund. The analysis and research on redemption risk of money market funds are of great significance to market regulators, fund managers and investors. At present, the researches on redemption of open-end funds are mostly focused on equity funds and bond funds, but there are few researches on redemption phenomenon of money market funds. But the money market fund of our country is now in a period of rapid development, which mode of development needs to be explored and discussed. In the empirical analysis of redemption phenomenon, many scholars in China find that there is a "mystery of redemption" in China, that is, the redemption rate is positively related to the return rate. However, the money market fund itself has many characteristics, such as the investment object is risk-free, the return rate can not be reflected from the fund net value, and so on, all of them are different from other open-end funds. However, most of the studies on money market funds in China were carried out in the early stages of the establishment of money market funds in China. At that time, the amount, scale and degree of financial market liberalization of money market funds were far less than those of today. Due to the availability of data, there are few empirical studies as an introduction of experience and reference of foreign development models. On the basis of the research on the phenomenon of fund redemption at home and abroad, this paper makes a theoretical analysis and empirical study on the redemption risk of the money market fund in this round of development, referring to the present situation of the development of the money market fund in China. Using econometrics model, the panel data of 80 money market fund samples from 2012 to 2013 are analyzed by multivariate regression, the positive and negative values of each parameter are estimated, and the significance is judged. The results show that the net redemption rate of money market funds is affected by the rate of return and the size of the fund, and the redemption situation in the previous period is also the factor affecting the redemption in the current period. However, the time of establishment of the fund and the recently widely used T 0 redemption mechanism have little effect on the net redemption rate. Through a series of theoretical and empirical arguments and empirical tests, I finally give my countermeasures and suggestions for the redemption risk of money market funds and their inspiration.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.5

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