COVID-19流动性危机与公募基金流动性管理研究

新冠疫情（COVID-19）对金融市场造成了巨大的冲击，所有的金融资产（股票，债券，外汇，黄金等）都经历了史无前例的暴跌, 其中也包括被认为是最为安全和流动性最好的金融资产（美国国债等），所以此次危机也被称为COVID-19流动性危机。区别于以往研究，本课题计划从微观高频交易数据入手，分析不同金融机构（做市商、公募基金、对冲基金、保险公司等）在危机期间的交易及其对于债券市场价格的影响，以此对这次危机的形成和背后动因做详尽的剖析。.另外，流动性管理是机构应对流动性危机的重要手段，相比于其他机构，流动性管理对于公募基金更加重要，因为公募基金有着内生的流动性不匹配问题，即基金通常持有流动性较差的资产（公司债券等），但投资者可以在任何时间赎回基金份额。基于此次危机这个时间窗口，我们将结合高频交易数据、季度持仓及衍生品交易数据对公募基金的动态流动性管理进行详细的分析。

The COVID-19 pandemic has caused a huge impact on the financial market. Most financial assets (stocks, bonds, foreign exchange, gold, etc.) have experienced an unprecedented plunge, including the safest and most liquid assets (US Treasury bonds), so this crisis is also called as the COVID-19 liquidity crisis. In this project, we plan to use high-frequency trading data to analyze the transactions by different financial institutions (market makers, mutual funds, hedge funds, insurance companies, etc.) and their effects on the bond prices during the crisis, therefore, we can provide a detailed analysis on the formation process of the crisis and its potential drivers..In addition, liquidity management is an important way for financial institutions to manage risk. Compared to other institutions, it is much more important for mutual funds since they have an endogenous liquidity mismatch problem, that is, funds usually hold illiquidity assets, for instance, corporate bonds, but investors can redeem fund shares at any time. Based on this liquidity crisis, we can conduct a detailed analysis of mutual fund dynamic liquidity management issue based on the high-frequency trading data, quarterly positions and derivatives transaction data of mutual funds.