偏股型基金的流动性风险实证分析--以多只公募基金为例  

Empirical Analysis of Liquidity Risks of Partial Stock Fund--Taking Several Public Funds as Examples

作　　者：杨剑锋 景治中 Yang Jianfeng;Jing Zhizhong(School of Economics and Management,Sichuan Technology and Business University,Meishan 620000 China)

机构地区：[1]四川工商学院经济管理学院,四川眉山620000

出　　处：《四川工商学院学术新视野》2022年第1期118-121,125,共5页Academic New Vision of Sichuan Technology and Business University

摘　　要：由于国内投资者存在非理性的投资行为,基金长期面临大规模赎回的压力,存在着流动性风险。本文选择偏股型基金作为研究对象,引用学者们对传统的VaR模型进行改良后得到La-VaR模型,对国内偏股型基金持仓占比较重的典型资产进行流动性风险的数理分析。广泛的探究我国目前市面上的偏股型基金是否存在流动性风险,不同基金之间又存在着何种共性问题,进而对国内偏股型基金的资产组合进行初步的流动性风险研究。通过对实证分析的解读,本文从流动性风险管理系统的构建、基金管理人的决策、投资者的投资理念等方面提出建议,为我国偏股型基金的流动性风险管理提供参考。Due to the irrational investment behavior of domestic investors,the fund is facing the pressure in large-scale redemption for a long time,and there is liquidity risk.This paper chooses partial stock fund as the research object and uses the La-VaR model modified by scholars on the basis of traditional VaR model.Then,the mathematical analysis of the liquidity risk of the typical assets held by the domestic partial stock fund is carried out.It extensively explores whether there is liquidity risk of the partial stock fund in the market and what common problems exist on different funds,and then makes a preliminary study on the liquidity risk of the asset portfolio of the partial stock funds in China.Through the interpretation of the empirical analysis,this paper puts forward some recommendations about the construction of liquidity risk management system,the decision-making of fund managers,and the investment philosophy of investors,so as to provide reference to the liquidity risks management of partial stock fund of China.

关 键 词：偏股型基金 流动性风险 LA-VAR模型 赎回 

分 类 号：F832.51[经济管理—金融学]