本文選題：貨幣市場(chǎng)基金 + 贖回風(fēng)險(xiǎn)��； 參考：《復(fù)旦大學(xué)》2014年碩士論文

【摘要】：隨著金融市場(chǎng)的不斷發(fā)展,貨幣市場(chǎng)基金也走在了金融創(chuàng)新的前列,并逐步進(jìn)入越來越多人的視線。2013年,互聯(lián)網(wǎng)銷售基金快速發(fā)展,帶動(dòng)了貨幣市場(chǎng)基金規(guī)模大幅度增長(zhǎng),其中最具代表性的“余額寶”所對(duì)應(yīng)的天弘增利寶基金從2013年6月建立,僅用了半年多時(shí)間便中國(guó)貨幣市場(chǎng)基金規(guī)模榜首,并躋身世界第七。貨幣市場(chǎng)基金以其低風(fēng)險(xiǎn)、低費(fèi)率以及較高的流動(dòng)性成為了金融市場(chǎng)重要的投資工具,并且對(duì)于有效配置金融市場(chǎng)資源能夠起到很好的自動(dòng)調(diào)節(jié)作用�；ヂ�(lián)網(wǎng)金融的創(chuàng)新以及T+0贖回機(jī)制的廣泛推行也大大增加了貨幣市場(chǎng)基金的便利性。但同時(shí)應(yīng)當(dāng)意識(shí)到,貨幣市場(chǎng)基金并非完全沒有風(fēng)險(xiǎn),正因?yàn)橥顿Y者能夠隨時(shí)申購(gòu)和贖回基金,對(duì)基金本身而言,就會(huì)引起由于流動(dòng)性問題而帶來的贖回風(fēng)險(xiǎn),這就給基金的管理和監(jiān)督帶來了新的挑戰(zhàn)。對(duì)貨幣市場(chǎng)基金贖回風(fēng)險(xiǎn)的分析與研究,對(duì)市場(chǎng)監(jiān)管方、基金管理人以及投資者而言,都是非常有意義的。目前國(guó)內(nèi)外對(duì)于開放式基金的贖回現(xiàn)象研究大都集中于股票型基金以及債券型基金中,專門針對(duì)貨幣市場(chǎng)基金贖回現(xiàn)象的研究比較少,而我國(guó)貨幣市場(chǎng)基金現(xiàn)在正處在一個(gè)高速發(fā)展期,采用何種模式發(fā)展,都是需要摸索和探討的。我國(guó)不少學(xué)者在進(jìn)行贖回現(xiàn)象的實(shí)證分析時(shí),都發(fā)現(xiàn)存在中國(guó)的“贖回之謎”,即贖回率與收益率正相關(guān)。但貨幣市場(chǎng)基金本身的諸多特點(diǎn),比如投資對(duì)象多為無風(fēng)險(xiǎn)標(biāo)的、無法從基金凈值體現(xiàn)收益率等等,都與其他的開放式基金存在著不同。而針對(duì)我國(guó)貨幣市場(chǎng)基金所進(jìn)行的的研究大多是我國(guó)貨幣市場(chǎng)基金成立初期進(jìn)行的,當(dāng)時(shí)無論是貨幣市場(chǎng)基金的數(shù)量、規(guī)模,還是金融市場(chǎng)自由化程度遠(yuǎn)遠(yuǎn)比不上今天,囿于數(shù)據(jù)的可得性,大都作為一種經(jīng)驗(yàn)的介紹以及國(guó)外發(fā)展模式的借鑒,鮮有實(shí)證研究。本文在國(guó)內(nèi)外學(xué)者對(duì)于基金贖回現(xiàn)象研究的基礎(chǔ)上,參照我國(guó)貨幣市場(chǎng)基金的發(fā)展現(xiàn)狀,對(duì)貨幣市場(chǎng)基金這一輪發(fā)展中的贖回風(fēng)險(xiǎn)進(jìn)行理論分析和實(shí)證研究,采用了計(jì)量經(jīng)濟(jì)學(xué)的模型,對(duì)80個(gè)貨幣市場(chǎng)基金樣本自2012年至2013年區(qū)間各季度的面板數(shù)據(jù)建立多元回歸,估計(jì)各參數(shù)的正負(fù)和大小,并判斷顯著性。結(jié)果顯示貨幣市場(chǎng)基金的凈贖回率受到收益率以及基金規(guī)模的影響,并且上一期的贖回情況亦是影響本期贖回的因素,而基金成立的時(shí)間以及被近來廣泛采用的T+0贖回機(jī)制對(duì)凈贖回率影響并不明顯。通過一系列的理論與經(jīng)驗(yàn)的論證,加上實(shí)證檢驗(yàn),最后給出了我對(duì)于貨幣市場(chǎng)基金贖回風(fēng)險(xiǎn)的對(duì)策建議以及所受到的啟發(fā)。
[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.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.5

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相關(guān)期刊論文 前1條

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本文編號(hào)：1862370