摘要
本文研究基金非流动性风险与基金净值暴跌风险之间的关系。研究表明:基金非流动性风险敏感系数可较好地量化基金非流动性风险;基金非流动性风险预警指标可较好地预警基金非流动性风险;股票型基金面临的非流动性风险越大,其净值暴跌风险也越大;基金非流动性风险净暴露越大、重大预警次数越多,基金净值暴跌风险越大。
The authors of this paper analyze the relationship between illiquidity risks of funds and crash risks of fund net value. The results of the paper show that the the illiquidity risks of funds can be quantified well by the sensitivity coefficient of the illiquidity risks of funds; the alert indexes of the illiquidity risks of funds can predict the illiquidity risks of the funds well; the greater the illiquidity risks of stock funds are, the greater the crash risks of fund net value; the greater the net exposure of the illiquidity risks and the number of major alerts is, the greater the crash risks of fund net value.
作者
丁春霞
王唯先
于瑾
侯伟相
DING Chun-xia;WANG Wei-xian;YU Jin;HOU Wei-xiang
出处
《金融论坛》
CSSCI
北大核心
2018年第8期55-67,共13页
Finance Forum
基金
国家自然科学基金青年项目"中国私募股权基金背景与投资行为周期研究"(71302010)
