| Institutional investors, a product of the development of securities market at a certain stage, have changed to a great extent the pattern and attribute of market and exerted a profound impact on the market structure, market efficiency and price changes of securities. In recent decades, the institutional investors have undergone an unprecedented development in scale and thus become the main investor force in international securities market. In early 1990s, China's institutional investors, with securities investing funds as the main form, came to existence along with the birth of New China's securities market, and now have developed to a large-scale investing group with diverse types and a far-reaching influence on market.It is an important topic in financial market study, especially in empirical study to explore the institutional investors' impact on market. Many scholars have achieved fruitful results in their study of the market price, price volatility and liquidity from the perspective of institutional investors. Yet from the comparative analysis of the characteristics between the data analysis framework based on quarterly data used in the past and the Topview data used in this paper, we find that the previous research generally fall into a plight of data completeness, a plight of data frequency and a plight of measurement method. Only from the point of data, there is a not small room for improvement, and meanwhile based on the data improvement we can explore new research methods and even innovation of analytical framework.As for the impact on market price, the institutional investors have capability to influence the equity price to a certain extent and it is commonly accepted and confirmed by rich empirical evidence that the behavior of institutional investors is influenced by pre- and the same period market price. Generally speaking, the correlation between institutional investors and market price is specified as two concepts based on one-way causal relationship——the institutional investors' influence on market and the trading feedback behavior of institutional investors. The predecessors also made their research from the analytical framework set by the two concepts. However, we believe that the idea of such an analysis is only a matter of considering the relationship between two variables or the causal relationship in one direction while ignoring another. In this paper, the core job in the correlation between the institutional behavior and market price is to combine the two directions of causal relationship between variables separated in previous research, and thus build a two-way interactive research perspective and analysis framework and set a measurement foundation for innovative research perspective and analysis framework on the basis of the vector autoregressive model and its analysis method system. Our research finally comes to a series of delicate conclusions that there is a high correlated coefficient and cointegration relationship between the shareholding ratio of institutional investors and market index and the short- term relevant coefficient between the institutional trading behavior and the yield of index is comparatively weak, but after smoothing the relevant intensity becomes stronger. In addition to the study from overall market level, we also use constituent stocks whose Shanghai Stock Exchange index is 50 for individual stock research, and thus study the influence of the institutional investors' behavior on stock prices and institutions' behavioral characteristics in their strategies of feedback trade in the micro level.As for the relationship between the institutional investors' behavior and market price volatility or market stability, there are three different opinions in the predecessors' theoretical study-- institutional investors have increased the market volatility; institutional investors have reduced the market volatility; institutional investors have nothing to do with the market volatility. Based on different assumptions, the normative study did not and could not reach a unified conclusion. In empirical research, also because of the problems of data plight and research method limitation arising from the data plight, the relationship mentioned above has not yet received comprehensive evidence. This paper, based on a systematic summary of the predecessors' main ideas and methods in their theoretical and empirical study, proposes a method of measuring the market volatility dynamically, and with this method studies the volatility characteristics of Shanghai stock market and compares it with some other important global financial markets such as London, New York, Tokyo and Hong Kong market and so on. On this basis, we will extend this volatility measuring method to the volatility estimating in the shareholding ratio of institutions, the shareholding ratio of legal persons and the shareholding ratio of major individuals. In the analytical framework of combining volatility spilling perspective with vector autoregressive model, we further analyze the volatility spilling ability of various markets' structural parameters to the Shanghai Stock Exchange index, and eventually we find the volatility of the shareholding ratio of institutional investors has a very strong spilling ability. From our empirical research findings, unless the institutional investors take the initiative to reduce the volatility of their positions to play a role of reducing market volatility, there is no possibility of "institutions stabilizing market". Yet apparently, the institutional investors do not have this subjective initiative.Finally, we sum up the study of the full text, making an overview about a series of empirical research findings in the relations between institutional investors and market price and market volatility, and proposing our policy and recommendations in optimizing the structure of institutional investors, developing various types of institutional investors and changing their own incentives system and so on.
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