Research On The Risk Of T+0 Money Market Fund

Influenced by Internet finance,the money market fund in China presents diversified development,and the "T+0" money market fund is innovatively introduced.But the birth of new products also brings new risks.This paper studies the liquidity risk and market risk of the money market fund,and focuses on the impact of the "T+0" type money market fund on these two types of risks.In the study of liquidity risk,this paper selected the 151 money market funds as samples,to measure the liquidity risk of the fund to fund net redemption rate size,using partial least squares,the redemption rate and market interest rates,"T+0" the redemption of the 0-1 variables and the size of the fund is positive correlation,negative correlation the holding ratio of size,team stability and institutional investors and the rate of return.And the redemption of "T+0" has a significant impact on the liquidity risk of the money market fund.In the study of market risk,this paper selected "T+0" and "T+1" money market funds,money market funds and six branch,establish the mean equation and the variance equation by using GARCH model,calculate each fund annual yield of seven of the value at risk(Va R),"T+0" type of currency market fund market risk is smaller than the traditional money market funds,but the difference is not.Based on the final empirical results,this paper puts forward reasonable management and investment advice for the managers and investors of the fund.