中文摘要：

本文运用2007年1月～2014年6月中国开放式股票型基金作为研究样本，通过构建市场流动性指标、基金流动性偏好指标、基金的流量指标等探讨了基金经理是否存在基于市场流动性的动态流动性偏好。研究结果表明基金经理存在动态流动性偏好行为：基金经理预期市场流动性差时，会持有更多流动性好的股票，而减持流动性差的股票；而当预期市场流动性加剧变差时，基金会增加流动性资产的持有，而减少非流动性资产的持有；同时，中小盘基金与大盘基金的动态流动性偏好差异，中小盘型基金会显示出更强的流动性偏好，从而会提高股票配置中高流动性股票的配置。最后，本文还针对指数基金的实证检验，从反事实的角度验证结论的可靠性。

英文摘要：

In this paper, based on the monthly data of actively managed open-ended equity funds in China from January 2007 to June 2014, with the index of market liquidity, liquidity preference of funds manager and the liquidity of funds, we study the fund managers＇ preference over dynamic liquidity based on the market liquidity. The results show that the fund managers have dynamic liquidity preference behavior： the fund manager will hold much better liquidity assets when the expected market liquidity becomes worse; fund managers tend to hold more liquid assets under worse expected market liquidity as the dynamic liquidity preference of fund based on the market liquidity. Meanwhile, there are differences between the small ＆ middle cap fund and the large one. The small ＆ middle cap funds have more significant dynamic liquidity preference, so these funds will prefer liquidity stocks. Lastly, we also use the empirical research for the index fund as the counter-fact examination to confirm that there is preference over dynamic liquidity in Chinese actively managed open-end equity funds.