开放式基金的流动性风险研究李哲斌..doc

开放式基金的流动性风险研究 ——基于投资者情绪的分析 摘 要 开放式基金投资市场是一个日益重要的金融证券投资市场。作为整个金融市场中不可或缺的一部分，我国的开放式基金在金融市场中的地位在06年开始的上一轮牛市中得到了无比显著的提高。开放式基金所具有的赎回机制其出发点是为了激励基金管理者更努力的工作，从而为投资者带来更多的收益。这被认为是开放式基金相比于封闭式基金的最大优势。但也正由于开放式基金可自由赎回的特点，也使得其管理者在进行投资时必须首先保障有足够的现金应对基金投资人的赎回问题，即流动性风险。这正是开放式基金流动性风险的现实性。 中国的基金投资者具有明显的有限理性特征，这是由我国证券市场的信息严重不对称、不确定条件下判断的系统性偏差和投资者有限理性的个体差异所共同决定的。经过近8年的发展，目前我国的开放式基金散户占投资者的比例已经具有了绝对优势，而普通投资者对证券市场多报有不切实际的预期投资行为受政策与机构的影响极大投资行为常常表现为非理性化操作上以中短线为主政策消息在很大程度上左右着投资者的投资行为。 为了有效的考察投资者的不理性特点给开放式基金的流动性带来的影响，本文引入了投资者情绪的概念。通过对投资者情绪的分析来研究开放式基金的赎回问题。 关键词：开放式基金 流动性风险 投资者情绪 Abstract Open-end fund is becoming increasingly important as a security investment tool in today’s financial market. As a indispensable part in the whole invenstment market, Chinese open-end fund has received a quite outstanding position in last bull market which beginned from 2006. The redemption mechanism is originally designed to stimulate the fund managers to work harder, thus earning more profits for the investors. It is considered as the most important advantage comparing with the colse-end fund. However, it is precisely because the freedom to open-end fund redemption features, makes its managers when making investment protection must first have enough cash to deal with the redemption of fund investors, namely liquidity risk. This is precisely the open-end fund liquidity risk reality. Chinas fund investors have obvious features of limited rationality, it is Chinas securities market from serious asymmetric information and uncertain conditions to determine the systemic bias and investors is limited by individual differences and rational decision together. After nearly 8 years of development, Chinas open-end fund the proportion of retail investors has been accounted for with the absolute advantage, and the ordinary stock market investors have unrealistic overstatement of investment behavior is expected by the impact of policies and institutions