Seven-day annualized yield of the 19 IMMFs

Published: 15-01-2020| Version 1 | DOI: 10.17632/3fmbr5hch4.1
Contributor:
Huizi Ma

Description

Recent years have witnessed the proliferation of the Internet money market funds (IMMFs) in China. IMMFs can be divided into 3 categories: (a) IMMFs docked by online third party payment Institutions; (b) IMMFs docked by banks; (c) IMMFs docked by the fund companies. 19 IMMFs as full research samples. Seven-day annualized yield of the 19 IMMFs were extracted from Wind Database. The sample period of this paper covers July 22nd, 2015 until December 5th, 2018. After eliminating invalid data, each yield series contains 825 daily data, with a total of 15,675 daily observations. Analysis performed was based on value at risk (VaR) and liquidity adjusted value at risk, to optimize IMMFs’ risk measurement

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