Research On The Impact Of Stock Market Fluctuation On Open-End Fund Risk

Since 2001,China's open-end fund market has gradually grown and improved,and open-end funds have occupied an absolutely dominant position in China's fund market.As of the second quarter of 2019,the total number of open-end funds has reached 5,554,the fund share has reached 1,267,182.5 million,and the net asset value of the fund has reached 1,132.202 billion yuan.Among them,stock funds have been widely concerned by the fund market and investors because of their large proportion and high returns.However,subject to the background conditions of China's fund development process and the market's immature,the market risk of open-end funds cannot be ignored or easily avoided.Not only that,but its risk will be affected by the overall financial market performance,especially the equity-type open-end funds whose main underlying target are stocks.The income and risk levels are both intuitively and theoretically close related to the trend and fluctuation of the stock market.Then,what is the current level of liquidity risk and redemption risk exposure of China's equity open-end funds? Is there a connection between it and the market performance of China's Shanghai and Shenzhen stock markets? What is the mechanism of this connection? Does the change in investor sentiment play a conductive role in this process? These issues are of great significance for the market to further understand the risks and production of open-end funds.It is closely related to the fund manager's operating conditions and is in harmony with the healthy and stable development of the capital market.It is both the focus of the market and investors.It is also a research hotspot that the academic community tries to quantify,analyze and trace.Firstly,this paper systematically sorts out the research on the risk of open-end funds,and finds that the traditional research of this risk often measures the market performance of the fund,that is,the fluctuation degree of the fund's rate of return as the measure of the fund's risk,but lacks of the perspective of market transactions,a more microscopic level to measure risk research.Therefore,from the perspective of the market,this paper analyzes the formation mechanism of the fund risk from the asset side and the liability side of the stock-type open-end fund,and defines the loss that the fund's stock assets may be exposed at a certain point in time as the liquidity risk of the fund.The extent to which a fund may face an investor's redemption at a certain point in time is defined as the redemption risk of the fund.On the basis of this definition,this paper refers to the existing literature practice,and selects 14 representative stock-type open-end funds,which use the daily and monthly data to construct the fund's liquidity risk and redemption risk indicators.Secondly,stock-type open-end funds,as an important sub-market of the financial market,are very likely to be affected by the fluctuations of the stock market.However,the existing literature has not conducted in-depth research on this impact at the micro level.Therefore,this paper uses the unbalanced panel data regression model from the beginning of 2007(or the fund establishment date)to the end of 2018 to test the relationship between the two micro-risks of the fund and the stock market performance.The research finds that,first,the liquidity risk of the fund is significantly negatively correlated with the increase of the Shanghai Composite Index and the Shenzhen Composite Index,and is significantly negatively correlated with the stock market volatility,which may be affected by the overall market environment.Second,the redemption risk of the fund is significantly negatively correlated with the increase in the Shenzhen Composite Index and is significantly positively correlated with stock market volatility.The above conclusions show that the micro-risk of China's stock-based open-end funds is indeed affected by the fluctuations of the stock market.Thirdly,although the traditional risk contagion theory has carried out certain theoretical analysis and empirical research on the transmission channels of financial risks and market fluctuations among various financial sub-sectors,subject to the factors such as samples,the micro-risk of China's equity-type open-end funds is subject to The specific mechanism of the impact of the stock market lacks in-depth research.Based on this,this paper uses the mediation effect test to examine the role of investor sentiment from the perspective of behavioral finance.The study finds that investor sentiment transmits the risk of stock market fluctuations to stock open-end funds at least to some extent.Finally,according to the main research conclusions,this paper puts forward the following policies and suggestions: For fund managers,it is necessary to pay close attention to the fluctuations of the stock market,rationally allocate the fund's underlying assets,improve fund share management and planning,and establish corresponding early warning mechanisms to control the liquidity risk and redemption risk of the fund;for the supervisory authority,it is necessary to accelerate the mechanism construction and legal perfection of the fund market,and enhance the supervision of open-end funds from the two micro perspectives of liquidity risk and redemption risk.At a proper Level,introduce short-selling mechanism;for investors,it is necessary to strengthen the cognitive ability of capital market and fund risk level,and clarify their own risk-taking ability,so as to choose the characteristics suitable for their own risks and benefits.