基金流动性风险的动态防控策略

doi:10.16381/j.cnki.issn1003-207x.2020.2269

Abstract

Abstract:

Liquidity risk management is particularly relevant for mutual funds as they face redemption risk induced by investors’ discretion. When market volatility surges， the probability of fund performance falling below threshold increases， which triggers investor redemption. Especially when funds don’t have enough liquid assets to meet redemption， they will have to fire sale illiquid assets and bear considerable liquidity costs. More importantly， mutual funds’ asset liquidating behavior continuously pulls down asset prices， causes externality to other funds and negatively affects market stability. It is of paramount importance to discuss mutual funds’ liquidity risk management in a volatile market.Using a sample of Chinese mutual funds from 2006-2018， the signal， existence and performance implication of two kinds of mutual fund dynamic liquidity management strategy are tested. First， the relationship between market volatility and fund flow is examined. It is the premise to adopt market volatility as a dynamic signal for fund liquidity risk management. Second， relationship between expected market volatility and fund liquidity is tested， in order to reexamine the dynamic liquidity cushion strategy discovered in American stock market. Third， another novel dynamic liquidity management strategy is proposed and it is named as the liquidity commonality reduction strategy. When market volatility goes up， market liquidity goes down. Mutual fund can reserve liquidity by reducing their liquidity sensitivity to the declining market liquidity. The relationship between expected market volatility and fund liquidity commonality is tested， so as to explore the existence of this strategy. Finally， the performance implication of the two dynamic liquidity risk management strategies is examined. It is found that expected market volatility is negatively related to fund flows. It may be an effective signal for fund redemption pressure and thus liquidity risk management. Results show， both dynamic liquidity cushion and liquidity commonality reduction behavior exist in Chinese capital market， but only the latter one can significantly improve fund performance. This study provides empirical evidence for fund managers and regulators to draw up effective plans to manage liquidity risk.

Key words: mutual funds, market volatility, liquidity, liquidity commonality

CLC Number:

F832.51

Dan-yang WANG,Lu-shi YAO. Mutual Funds' Dynamic Liquidity Risk Management[J]. Chinese Journal of Management Science, 2023, 31(10): 40-48.

Figures/Tables 8

变量	(1)	(2)	(3)	(4)
变量	Flow_wa_t+1	Flow_wa_t+1	Flow_sa_t+1	Flow_sa_t+1
EMV_t	-0.217^***	-0.249^***	-0.093^***	-0.116^***
EMV_t	(-6.97)	(-8.42)	(-9.36)	(-11.74)
$∑ k = 0 1 δ k F l o w t - k$	Yes		Yes
$∑ k = 0 2 δ k F l o w t - k$		Yes		Yes
M_t	Yes	Yes	Yes	Yes
Obs	13189	13189	13189	13189
R²	0.3030	0.3719	0.2883	0.3076
Adj.R²	0.3027	0.3716	0.2880	0.3073

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变量名称	变量符号	观测数	均值	标准差	最小值	中位数	最大值
预期市场波动	EMV_t	13189	1.54	0.44	0.90	1.48	2.67
基金流动性	WLiq_t	13189	-2.84	3.30	-78.9	-1.95	-0.07
	HLiq_t	13189	76.7	19.2	0.00	81.9	100
	LLiq_t	13189	7.34	10.2	0.00	3.42	99.1
基金流动性共性	WClq_i,t	13189	61.8	4.52	42.6	61.7	84.5
	HClq_i,t	13189	32.8	10.7	0.00	32.6	99.1
	LClq_i,t	13189	32.2	10.9	0.00	31.9	100
基金业绩	Raw_i,t	13189	2.54	12.5	-28.2	0.58	64.1
	AbrM_i,t	13189	-0.19	6.58	-37.2	-0.46	34.1
	AbrF_i,t	13189	-0.16	4.92	-28.3	-0.51	28.7
	AbrC_i,t	13189	-0.16	4.67	-26.1	-0.50	25.7
基金层面控制变量	TNA_i,t	13189	0.92	0.71	-2.05	1.02	2.62
	FFM_i,t	13189	0.83	0.59	-2.00	0.86	2.25
	Age_i,t	13189	5.30	3.73	0.50	4.42	17.8
	Cash_i,t	13189	11.2	8.56	0.04	9.00	98.9
	Flow_i,t	13189	0.20	3.80	-1.13	-0.08	19.9
	Turn_i,t	13189	0.41	0.22	0.00	0.43	0.97
	Fee_i,t	13189	1.68	0.21	0.50	1.75	2.25
	Dvol_i,t	13189	16.0	7.94	0.24	14.6	57.7
市场层面控制变量	MR_t	13189	5.26	26.3	-47.3	2.00	98.3
	MV_t	13189	1.50	0.69	0.64	1.31	3.26
	MLiq_t	13189	-5.82	4.33	-27.3	-5.01	-1.50

变量	Corr(EMV_t, WLiq_i,t+1)>0				Corr(EMV_t, HLiq_i,t+1)>0				Corr(EMV_t, LLiq_i,t+1)<0
变量	(1) Raw_i,t+1	(2) AbrM_i,t+1	(3) AbrF_i,t+1	(4) AbrC_i,t+1	(5) Raw_i,t+1	(6) AbrM_i,t+1	(7) AbrF_i,t+1	(8) AbrC_i,t+1	(9) Raw_i,t+1	(10) AbrM_i,t+1	(11) AbrF_i,t+1	(12) AbrC_i,t+1
EMV_t ×D_Liq_i,t	0.317	0.330	0.177	0.176	-0.161	0.288	0.152	0.123	0.218	0.498^**	0.156	0.172
EMV_t ×D_Liq_i,t	(1.10)	(1.43)	(0.97)	(1.00)	(-0.55)	(1.24)	(0.82)	(0.69)	(0.76)	(2.17)	(0.86)	(0.98)
EMV_t	3.002^***	-0.486	1.553^***	0.867^***	3.256^***	-0.399	1.600^***	0.926^***	3.086^***	-0.531^*	1.583^***	0.888^***
EMV_t	(7.44)	(-1.51)	(6.10)	(3.54)	(8.53)	(-1.31)	(6.66)	(4.01)	(7.89)	(-1.71)	(6.43)	(3.75)
Pfm_i,t	-0.167^***	-0.130^***	-0.070^***	-0.051^***	-0.167^***	-0.130^***	-0.070^***	-0.051^***	-0.166^***	-0.130^***	-0.069^***	-0.051^***
Pfm_i,t	(-18.22)	(-14.36)	(-8.12)	(-5.86)	(-18.22)	(-14.37)	(-8.11)	(-5.86)	(-18.21)	(-14.38)	(-8.10)	(-5.84)
X_i,t	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
M_t	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
基金固定效应	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
年份固定效应	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Obs	13189	13189	13189	13189	13189	13189	13189	13189	13189	13189	13189	13189
R²	0.6661	0.3027	0.2233	0.2114	0.6661	0.3027	0.2233	0.2114	0.6661	0.3029	0.2233	0.2114
Adj.R²	0.6318	0.2310	0.1435	0.1303	0.6317	0.2310	0.1434	0.1303	0.6317	0.2312	0.1434	0.1303

	Corr(EMV_t, WClq_,t+1)<0				Corr(EMV_t, HClq_i,t+1)<0				Corr(EMV_t, LClq_i,t+1)>0
	(1) Raw_i,t+1	(2) AbrM_i,t+1	(3) AbrF_i,t+1	(4) AbrC_i,t+1	(5) Raw_i,t+1	(6) AbrM_i,t+1	(7) AbrF_i,t+1	(8) AbrC_i,t+1	(9) Raw_i,t+1	(10) AbrM_i,t+1	(11) AbrF_i,t+1	(12) AbrC_i,t+1
EMV_t ×D_Clq_i,t	1.609^***	0.824^**	0.917^***	0.762^**	0.879^**	0.581^*	0.761^***	0.670^***	0.605^**	0.581^**	0.690^***	0.623^***
EMV_t ×D_Clq_i,t	(3.09)	(1.98)	(2.78)	(2.40)	(2.32)	(1.92)	(3.17)	(2.91)	(2.13)	(2.57)	(3.84)	(3.61)
EMV_t	1.721^***	-1.042^**	0.820^**	0.276	2.469^***	-0.765^**	1.033^***	0.422	2.885^***	-0.582^*	1.308^***	0.656^***
EMV_t	(2.87)	(-2.18)	(2.16)	(0.76)	(5.15)	(-2.00)	(3.41)	(1.45)	(7.36)	(-1.87)	(5.30)	(2.77)
Pfm_i,t	-0.167^***	-0.131^***	-0.070^***	-0.051^***	-0.167^***	-0.130^***	-0.070^***	-0.051^***	-0.166^***	-0.130^***	-0.069^***	-0.051^***
Pfm_i,t	(-18.25)	(-14.40)	(-8.15)	(-5.89)	(-18.22)	(-14.39)	(-8.15)	(-5.89)	(-18.21)	(-14.38)	(-8.10)	(-5.84)
X_i,t	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
M_t	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
基金固定效应	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
年份固定效应	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Obs	13189	13189	13189	13189	13189	13189	13189	13189	13189	13189	13189	13189
R²	0.6663	0.3028	0.2238	0.2117	0.6662	0.3028	0.2239	0.2119	0.6662	0.3030	0.2242	0.2122
Adj.R²	0.6320	0.2311	0.1439	0.1306	0.6319	0.2311	0.1441	0.1308	0.6319	0.2313	0.1444	0.1312

变量	(1) HClq10_i,t+1	(2) LClq10_i,t+1	(3) HClq50_i,t+1	(4) LClq50_i,t+1
EMV_t	-1.818^***	1.944^***	-8.774^***	8.493^***
EMV_t	(-5.78)	(6.33)	(-15.88)	(15.38)
Y_i,t	-0.062^***	-0.019^**	-0.041^***	-0.041^***
Y_i,t	(-6.85)	(-2.01)	(-4.47)	(-4.50)
X_i,t	Yes	Yes	Yes	Yes
M_t	Yes	Yes	Yes	Yes
基金固定效应	Yes	Yes	Yes	Yes
年份固定效应	Yes	Yes	Yes	Yes
Obs	13189	13189	13189	13189
R²	0.0809	0.1687	0.1497	0.1426
Adj.R²	-0.0136	0.0833	0.0623	0.0545

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Mutual Funds' Dynamic Liquidity Risk Management

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变量	(1)	(2)	(3)
变量	WLiq_i,t+1	HLiq_i,t+1	LLiq_i,t+1
EMV_t	0.907^***	8.509^***	-4.824^***
EMV_t	(6.58)	(14.21)	(-13.46)
FundLiq_i,t	0.146^***	0.382^***	0.270^***
FundLiq_i,t	(17.54)	(45.44)	(31.00)
X_i,t	Yes	Yes	Yes
M_t	Yes	Yes	Yes
基金固定效应	Yes	Yes	Yes
市场固定效应	Yes	Yes	Yes
Obs	13189	13189	13189
R²	0.2614	0.5551	0.4522
Adj.R²	0.1855	0.5094	0.3959

变量	(1)	(2)	(3)
变量	WClq_i,t+1	HClq_i,t+1	LClq_i,t+1
EMV_t	-3.021^***	-6.356^***	8.528^***
EMV_t	(-16.40)	(-12.44)	(16.72)
FundClq_i,t	-0.085^***	-0.050^***	-0.026^***
FundClq_i,t	(-8.62)	(-5.52)	(-2.85)
X_i,t	Yes	Yes	Yes
M_t	Yes	Yes	Yes
基金固定效应	Yes	Yes	Yes
市场固定效应	Yes	Yes	Yes
Obs	13189	13189	13189
R²	0.3928	0.1751	0.1814
Adj.R²	0.3304	0.0903	0.0973

变量	(1) ?WCLq_i,t+1	(2) ?HCLq_i,t+1	(3) ?LCLq_i,t+1
?EMV_t	-2.007^***	-5.545^***	3.194^***
	(-8.75)	(-8.43)	(5.09)
X_i,t	Yes	Yes	Yes
M_t	Yes	Yes	Yes
基金固定效应	Yes	Yes	Yes
年份固定效应	Yes	Yes	Yes
Obs	13189	13189	13189
R²	0.0423	0.0447	0.0265
Adj.R²	-0.0561	-0.0534	-0.0734