银行附属机构对外国共同基金在不利冲击下寻求流动性的影响：来自中国的证据

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2024-10-22 DOI:10.1016/j.irfa.2024.103679

Jinhua Zhang , Rui Mao , John W. Goodell , Anna Min Du , Yimin Xu

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引用次数: 0

摘要

我们利用每日持股数据和基于事件的综合冲击度量，研究了在华隶属于商业银行的外资共同基金的流动性寻求行为，并将其与未隶属于商业银行的外资共同基金的行为进行了比较。固定效应模型和面板结构 VAR 模型都揭示了附属外资共同基金和非附属外资共同基金之间的不同反应。虽然两类共同基金都通过从流动性差、波动大和面临负面冲击的成长型股票中撤出来寻求流动性，但非关联共同基金表现出更高程度的流动性寻求，这与银行关联基金提供流动性稳定性的结果一致。这一结论在选择冲击期和测量方法时是稳健的。这些证据为新兴市场开放式外国共同基金的流动性管理提供了新的启示。

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Impact of bank-affiliation on liquidity seeking of foreign mutual funds during adverse shocks: Evidence from China

Using daily shareholding data and event-based measures of composite shocks, we investigate the liquidity-seeking behavior of foreign mutual funds in China that are affiliated with commercial banks, comparing it with the behavior of unaffiliated foreign mutual funds. Fixed effect and panel structural VAR models both reveal differential responses between affiliated and unaffiliated foreign mutual funds. While both types of mutual funds seek liquidity by withdrawing from illiquid, volatile and growth-oriented stocks facing negative shocks, unaffiliated mutual funds exhibit a higher degree of liquidity seeking, consistent with the results of bank-affiliated funds providing liquidity stability. This finding is robust to the selection of shock periods and measurements. The evidence shed new lights on the liquidity management of open-end foreign mutual funds in emerging markets.

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.