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The Impact Of The Investment Behavior Of Inwestment Funds On Stock Market Volatility

Posted on:2011-04-09Degree:MasterType:Thesis
Country:ChinaCandidate:D WangFull Text:PDF
GTID:2189330332483261Subject:Industrial Economics
Abstract/Summary:PDF Full Text Request
After 20 years of the development, China's stock market unceasingly expands on the scale and the influence, but the barometer function of the stock market has been questioned. The stock market fails to reflect the development of entity economy. The market has long been the irrational violent volatility. To stabilize the stock market, management vigorously develops institutional investors in particular securities investment funds. The result of development is that securities investment funds rapidly expand on the scope and number. Funds have become China's largest institutional investors and increases gradually impact on the stock market. At the same time, the stock market is more violent volatility. The gap between reality and expectations needs us to research whether the securities investment funds does have the function to stabilize stock market. The scholars did not form a unified conclusion. In this paper, the investment behavior of securities investment funds as a starting point, we research the impact of funds investment behavior on stock market volatility.The article utilizes Principal-Agent theory to analyze the dual Principal-Agent relates of fund investors, fund management companies and fund managers. By fixed management fee rate, fund Principal-Agent Problem increase stock market volatility. The article utilizes rational expectations theory to analyze the market impact of funds investment behavior by investor rationality and market power. Based on behavioral finance theory, we analyze fund as a limited rational man causes increased stock market volatility. Limited rational market and limited rational human are premises. The standard deviation of daily return of stock price (stock price index) measure the volatility of the market, industry and individual stocks. The market value of fund shares by circulation market value of stocks (circulation market value of market or industry) reflect the overall investment behavior of securities investment funds. Through time series regression of Macro-level and panel data regression of Industry-level and Micro-level, we research the impact of funds investment behavior on stock market volatility. We concluded that funds investment behavior increased the stock market volatility. In conjunction with the market environment and related systems integration, we investigate external constraints and internal system defect that funds failed to stabilize the stock market, and propose that perfect operating mechanism of the securities market, listed companies and securities investment funds, to enhance the function that funds stabilize the stock market.On the market impact of funds investment behavior, most scholars research the macroscopic stock market or the microscopic stock, few scholars analyze at two levels and scholars do not have nearly the empirical analysis of the industry volatility. In the article, empirical analysis contains three levels of the macroscopic, the industry and the microscopic. The industry and the microscopic volatility utilize panel data regression. The article comprehensively researches the market impact of funds investment behavior, and the results are more stable and reliable.
Keywords/Search Tags:securities investment funds, investment behavior, volatility, panel data
PDF Full Text Request
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