Research On The Relationship Between Security Investment Funds And Volatility On Stock

The influence of security investment funds imposing on the stock market becomes increasingly obvious.While transforming saving capital and ameliorating investor structure, the behavior of investment funds has made certain side effect on stock market. It impairs the status and function of security investment funds in security market, and also limits the development of investment funds.How to understand the behavior and influence of security investment funds, which is essential to the development of funds and security market, and has important theory research and application value.Under the direction of finance and investment theory, such as portfolio theory, efficient market theory and behavioral finance theory, based on analyzing investment funds' behavior accurately, the paper, which uses the method of qualitative analysis and quantitative analysis, tests the influence of security investment funds' behavior on volatility in Chinese stock market respectively. Firstly, the paper analysis the positive and negative effects that SIF influence on the volatility of the stock market. The study shows that SIF have the behavior and motivation to increase the volatility of the market. Then, with the introduction of SIF as a dividing line, the paper attempts to use the parametric method(such as ARCH Models) to conduct an empirical study about the impact of SIF on China stock market and compares the variations of stock market volatility and evaluates whether the volatility structure of the stock market has changed. The paper also analyses the investment behavior of SIF from position ratio, shareholding concentration and periods. The empirical results consider the introduction of SIF did not stabilize China stock market or reduce China stock market volatility. After SIF entering the market, the level of volatility has not been dropped, and characteristics of volatility change as stock market cycle changing. When the market is suffering a downturn period, SIF reduces the volatility of the stock market periodically; when the market is rising period, SIF rather than exacerbated the volatility of stock market. The position ratio of China SIF have a positive correlation with the volatility of stock market. China SIF maintains a high level of shareholding concentration basically and belong to medium-term or short-term investment. The empirical results show that China SIF haves not been stabilizing effects on stock market, and sometimes instead aggravate the stock market volatility in China in different market cycles.Finally, on the basis of theoretical and empirical analysis conclusions, the paper analyses the reason of SIF could not exert the function to stabilize the market from three aspects,which are SIF itself,listed companies and stock market. After establishing a reasonable position on developing China SIF, the paper makes relevant policy recommendations.