Risk Analysis And Empirical Study Of Securities Investment Fund

Securities investment fund risk analysis is the key to securities investment fund risk management, therefore, securities investment fund risk analysis and empirical research has the very important meaning to the valid management of securities investment fund and the health development of the fund industry. Based on this train of thoughts, this paper devotes eight chapters to study the related issues respectively.Among them chapter 1 is introduction. Chapter 2-4 talk about the theories analysis of securities investment fund risk, including the risk types identifying, risk reason mechanism and risk measurement, setting up the theoretical frame of securities investment fund risk analysis. Chapter 5-7 are the empirical study on the securities investment fund market fluctuation and market risk. Chapter 8 is the summary and forecasting.Chapter 2 makes a general analysis on securities investment fund risk types and characteristics. This chapter analyzes the basic concept of securities investment fund and summarizes the all kinds of risk concepts and gives them a quantitative analysis. This chapter classifies securities investment fund risk according to its characteristics. Finally, this chapter also analyzes the basic characteristics of securities investment fund risk.Chapter 3 analyzes the reason of securities investment fund risk. According to the stock pricing model, this chapter analyzes the forming mechanism of securities investment fund market risk by studying the impact of economic factors on securities price. This chapter studies the reason of open-end securities investment fund liquidity risk from the point of liquidity demand and liquidity supply. This chapter probes into the cause of securities investment fund operating mechanism risk by analyzing the relationship among securities investment fund management company and other partners. Chapter 4 studies the measurement model of securities investment fund risk. This chapter measures securities investment fund market risk by use of the variance model, semi-variance model and value at risk model. It places emphasis on selection of time intervals and confidence intervals and portfolio return distribution. This chapter classifies the cash flow of buying fund shares and assets in order to establish the model of measuring the open-end securities investment fund liquidity risk. Chapter 5 is devoted to the empirical study on the interactive relationship of China securities investment fund market fluctuation. First of all, it selects the research sample and methods. Then, it conducts the stationarity test and studies the interactive relationship of China securities investment fund market fluctuation by means of cointegration analysis. According to the research results, the fund index , large scaled fund index, small scaled fund index and ZXZS stock index, ZXDP stock index, ZXZP stock index, ZXXP stock index are all the integrated process unstationary variable, satisfying to the requirement of cointegration analysis. According to the cointegration analysis results, the fund index has not long-term stability relation with ZXZS stock index, ZXDP stock index and ZXXP stock index, but the fund index has long-term stability relation with ZXZP stock index. The large scaled fund index has long-term stability relation with ZXZS stock index, ZXZP stock index, ZXXP stock index, but the large scaled fund index has not long-term stability relation with ZXDP stock index. The small scaled fund index has long-term stability relation with ZXZS stock index, ZXDP stock index, ZXZP stock index and ZXXP stock index. There are long-term stability relation among the fund index , large scaled fund index and small scaled fund index.Chapter 6 conducts the empirical study on the characteristics of China securities investment fund market fluctuation by means of modern financial time series analysis methods, such as volatility clustering, leverage effect, risk premium effect, etc. According to the empirical study results, there are volatility clustering and leverage effect in China se...