本文關鍵詞： 開放式基金 流動性溢價 流動性風險溢價 Fama-Macbeth回歸 LCAPM模型　出處：《湖南大學》2014年碩士論文　論文類型：學位論文

【摘要】：著名學者O’ Hara（2003）指出金融市場的兩個基本功能就是提供價格發(fā)現(xiàn)和流動性。然而流動性問題一直沒得到足夠的重視，直到上世紀八十年代以來，多次發(fā)生的流動性危機事件，才引起了監(jiān)管者及研究者們對流動性及其風險的重視。金融市場并非時刻具有良好的流動性，在這些危機中，市場流動性突然消失、交易成本顯著增加及證券價格急劇下跌等一系列反應導致市場失靈。更為嚴重的是，金融市場的危機具有傳染性，從一個市場傳染到另一個市場從而威脅到整個金融體系的安全和穩(wěn)定，進而影響到實體經(jīng)濟的正常運轉。 如今，基金產業(yè)已與銀行業(yè)、證券業(yè)、保險業(yè)成為現(xiàn)代金融體系的四大支柱，在基金產業(yè)內部，開放式基金又是基金業(yè)的主流。開放式基金的契約特色、產品特性和運作特點，導致其具有難以避免的流動性風險。因此，本文基于金融市場微觀結構理論，對中國開放式基金流動性風險演變規(guī)律及其對資產定價的影響進行研究，以期為投資者理性投資，證券監(jiān)管部門維護市場流動性和防范流動性危機提供參考。 本文以Amihud（2002）非流動性比率指標來度量開放式基金流動性，采用Fama-Macbeth橫截面回歸模型和LCAPM模型對中國開放式基金流動性溢價及流動性風險溢價是否存在進行實證研究。選擇30支具有代表性的開放式基金作為研究樣本，并在整個時間段內將市場分成牛市和熊市，，從而考察流動性溢價和流動性風險溢價在不同市場態(tài)勢下是否具有不同表現(xiàn)與特點。 研究結果表明，市場風險溢價在整個時間段上和牛市狀態(tài)下都顯著存在，但在熊市狀態(tài)不存在；流動性溢價在整個時間段及牛市階段下不存在，但是在熊市階段顯著存在；而流動性風險無論是在整個時間段上還是在牛熊市階段，均沒有表現(xiàn)出顯著的溢價，因此，中國開放式基金市場并不存在顯著的流動性風險溢價。
[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.
【學位授予單位】：湖南大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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