货币市场基金申购赎回的实证研究

An Empirical Research on the Purchase and Redemption of Money Market Funds

本文采用O’Neal分离现金流量方法研究影响货币市场基金投资者申购和赎回行为的具体因素。实证结果表明,基金业绩增长是决定货币市场基金申购和赎回的主要变量,基金当期净值增长率与基金份额净变动率、申购率和赎回率呈正相关关系,影响程度呈非对称性;货币市场基金投资者的申购决策主要考虑基金收益情况,赎回决策兼顾基金收益和风险分布。因此,提高基金收益及其稳定性,降低基金收益波动是货币市场基金加强流动性风险管理的基础。

By the means of splitting cash flow of O＇Neal, the paper studies the factors which influence the investors＇ purchase and redemption of money market funds. The result of the empirical research indicates that the performance of funds is the primry variable determining the purchase and redemption of money market fund. The grow rate of net asset value has a positive correlation with the net change rate of total shares, purchase rate and redemption rate of fund, and their influence is asymmetrical. The investors make decisions of purchase mainly basing on the return of funds, and redemption decisions basing on both the return and risk distribution of funds. Consequently, improving the return and its stability, reducing the variability of return are the base of liquidity risk management of money market funds.