摘要
本文运用计量方法VaR思想构建了流动性风险测度的L-VaR模型,对我国2006年以前成立的48只股票型开放式基金的流动性风险进行了测度。实证结果显示:测度的开放式基金都存在一定程度的流动性风险,流动性风险值较为接近,说明部分基金管理公司在管理风险、选股和选择市场机会等方面的能力是相近的,容易形成基金选股的"羊群效应";基金管理公司旗下各基金投资目标的风格与流动性风险水平基本一致,但同种风格基金的流动性风险值差异不大。此结论为基金管理规避风险提供了理论依据和指导途径。
With eeonometrical technique of VaR idea, this paper constructs an L-VaR model to measure the liquidity risk of 48 shares, which were open-end funds set up in China before 2006. The empirical result indicates that there exists a liquidity risk in every open-end fund tested, with the liquidity risk value very close to each other. It shows that some fund management companies possess similar capabilities in risk management, stock selection and market opportunity grabbing, which tendsto form ＂Herd Behavior Effect＂ in stock selection. The result also indicates that the investment styles for each fund under those fund management companies are in conformity to liquidity risk level, with little difference in liquidity risk value of the same style fund, which provides a theoretical foundation and guidance for fund management on how to avoid risks.
出处
《北京工商大学学报（社会科学版）》
CSSCI
北大核心
2008年第6期49-53,共5页
JOURNAL OF BEIJING TECHNOLOGY AND BUSINESS UNIVERSITY:SOCIAL SCIENCES
关键词
开放式基金
流动性
VaK
open-end fund
liquidity
Value at Risk （VaR）
作者简介
周莉（1966--），女，四川成都人，北京工商大学经济学院教授；
韩晓洁（1983-），女，新疆乌鲁木齐人，兴业银行新疆分行分析员。
