Securities Investment Funds On The Stock Market Research, And Its Microscopic Mechanism

Based on behavior finance, we study the impact of mutual fund on the capital market and its micro mechanism from the game perspective.This article can be divided into three parts. The first part is research on the flow performance relationship. We find that, in china fund market, there is no positive relationship between the funds flow of mutual fund and fund performance, however, from the view of fund company, there is positive relationship between the fund performance and total funds flow of fund company. This relationship provide incentive for fund family to game with each other, if fund family achieve better performance, the assets under management and the profit of fund company will grow up correspondently.The second part consists of research on the game behavior of fund with market microstructure theory and game theory. We establish a model to illustrate micro mechanism of fund game behavior dynamically. In this model, information cost is a core conception. The existence of information cost introduces the asymmetry of information and incomplete rationality of investor. In the game process, equilibrium price of security is decided by game behavior of game participant and adjusted to the game process dynamically. This model not only demonstrates the micro mechanism of game behavior, but also can be used to illustrate the origination, evolution and ruin of market bubble.Based on the model, we study the impact of fund game behavior on the volatility, efficiency and liquidity of capital market. The model suggests that fund game behavior enhance the spread of information, so, improve the market efficiency and reduce the market volatility. However, it will introduce negative impact on market liquidity.The third part is empirical study. We make study on the impact of fund game behavior on the volatility and liquidity of capital market respectively. The results of empirical study are consistent with theoretical model.