Securities Investment Funds Strategic Transaction Behaviors And Stock Price Volatility

The questions of whether "herd behavior" and "feedback trading behavior" exist in the specific investment process and how they will affect the share-price volatility are always the focus issues in theory, practice and regulating levels, but there are no consistent answers to these questions whether in theory or from empirical analysis.Based on Chinese securities investment funds, this paper uses the Shanghai and Shenzhen stock exchange's A-share listed companies as the sample to do the empirical study of whether "herd behavior" and "feedback trading behavior" exist in the specific investment process and how they will affect share-price volatility from the relationship between the securities investment fund and market fluctuations. Finally, we get the following conclusions:1,There is a long-term stable equilibrium between fund shareholding ratio and market volatility. But the fund shareholding ratio is in a "dominant" position, and stock index volatility is in an "affiliate" position. When such equilibrium is broken, only stock index volatility makes remarkable contributions to the balancing repair. Fund shareholding ratio change is the Granger cause of stock index volatility change, but the opposite conclusion cannot be established.2,Securities investment fund has obvious herd behavior especially in a bull market condition. The different number of the funds conducting transactions will not significantly affect the existence and size of herd behavior. The funds have more obvious herd behavior in smaller and larger investment listed companies than the moderate-scale listed company.3,"Temporal" herd behavior has more obvious positive effect on the share-price volatility, especially in larger and smaller listed companies. Comparing with bull market conditions, "temporal" herd behavior has more obvious impetus to share-price volatility in bear market conditions.4,Implicit transaction has stable effect on share-price volatility at most of the periods. But "intertemporal" herd behavior plays an improving role on share-price volatility. Both of them have more obvious effect on market value of smaller stocks especially in the bull market conditions.5,The stocks that securities investment funds investing exist apparent returns momentum effect in the short term. But in a long time, the stocks returns show a reversal effect. The funds' establishing transaction, liquidating transaction, and lighten up transaction exist the significant reversal effect, but the opening transaction exists momentum effect.6,Whether fund momentum transactions or reverse trading strategies all strengthen stock fluctuation. But the reverse transaction behavior caused more share-price volatility than the momentum transactions behavior. When the market is in bear market condition, reverse transactions behavior can cause more severe share-price volatility. During the small-cap stocks samples, the fund momentum trading behavior caused more share-price volatility. On the contrary, in the large-cap stocks samples, the fund reverse transactions behavior caused more stock price volatility. So, the fund momentum trading behaviors are the important reason of trigging pannikin share-price volatility, but reverse trading strategies are the important reason of trigging grail share-price volatility.