---
source_url: "https://www.snai.edu/empacc/2026/0427/90656.shtml"
title: "港中大资讯 | 香港中文大学的江文熙教授合作论文在金融学顶刊RFS上发表！"
meta_description: "A co-authored paper by Jiang Wenxi of CUHK, Huang Shiyang of HKU, Xiaoxi Liu of BIS, and Liu Xin of UM was published in the Review of Financial Studies, examining how liquidity management by bond mutual funds affects Treasury price fragility."
publish_date: "2026-04-27"
modify_date: "2026-04-30"
author: "上海国家会计学院"
publisher: "上海国家会计学院"
category: "新闻中心"
language: "zh-CN"
priority: 0.5
---

# 港中大资讯 | 香港中文大学的江文熙教授合作论文在金融学顶刊RFS上发表！
> A co-authored paper by Jiang Wenxi of CUHK, Huang Shiyang of HKU, Xiaoxi Liu of BIS, and Liu Xin of UM was published in the Review of Financial Studies, examining how liquidity management by bond mutual funds affects Treasury price fragility.

## 一、详细说明 
据RFS官网显示，来自香港中文大学的江文熙、香港大学的黄诗杨、国际清算银行的XiaoxiLiu、澳门大学的劉昕，合作撰写的论文**《DoesLiquidityManagementInduceFragilityinTreasuryPrices?EvidencefromBondMutualFunds》**： 在国际金融学顶刊**《*ReviewofFinancialStudies*： 》**： 上发表。

**\\\\\\\\\**： **Title////////**： 

**DoesLiquidityManagementInduceFragilityinTreasuryPrices?EvidencefromBondMutualFunds**： 

**流动性管理是否导致国债价格的脆弱性？来自债券共同基金的证据**： 

**摘要**： 

MutualfundsinvestinginilliquidcorporatebondsactivelymanageTreasurypositionstobufferredemptionshocks.Thisliquiditymanagementpracticecantransmitnon-fundamentalfundflowshocksontoTreasuries,generatingexcessreturnvolatility.Consistentwiththishypothesis,wefindthatTreasuryexcessreturnvolatilityispositivelyassociatedwithbondfundownership,andthispatternismorepronouncedamongfundsconductingintensiveliquiditymanagement.CausalevidenceisprovidedbyexploitingtheU.S.SecuritiesandExchangeCommission’s2017LiquidityRiskManagementRule.EvidencealsosuggeststhattheCOVID-19Treasurymarketturmoilwasattributedtointensifiedliquiditymanagement,anunintendedconsequenceofthe2017LiquidityRiskManagementRule.

投资于非流动性公司债券的共同基金积极管理国债头寸以缓冲赎回冲击。这种流动性管理实践可以将非基本面基金流动冲击传导到国债，产生超额回报波动。与这一假设一致，本文发现国债超额回报波动与债券基金所有权正相关，并且在进行密集流动性管理的基金中这种模式更为明显。通过利用美国证券交易委员会2017年的流动性风险管理规则，本文提供了因果证据。证据还表明，COVID-19期间国债市场的动荡归因于加强的流动性管理，这是2017年流动性风险管理规则的一个意外后果。

**扫码查看原文**：

## 二、引用与来源
- 原文来源：<>
- 机构：上海国家会计学院
- 版权声明：上海国家会计学院版权所有