The Impact Of Securities Investment Fund On Chinese Stock Market Volatility

The number and size of China's securities investment fund have been expanding ever since securities investment fund came into being. As the most important institutional investor ,its effect in stock markets has brought up many scholars'dispute. In this article, 106 stocks are chosen which had been being held vastly by securities investment fund for continuous four years from year 2006 to 2009, the ratio of securities investment fund holdings as the explanatory variable, and with company size, ROE(rate of return on common stockholders'equity) , and the proportion of company market capitalization in A-share market as control variables.Then establishing a multi-linear model. With the annual data of the reporting period and the stage date during both the bear and bull phases, the influence of fund holdings behavior on stock markets'volatility is analyzed.Concluded: The stock holdings of securities investment fund shows both positive and negative effects on price volatility in stock market, which is various during the different phases of the stock market. However, it plays a mainly negative role in price volatility of stock market. The bear and bull phases of stock market have been separated and alternative calculation methods of price volatility in stock market have been used to analyze the same issue, and we come to the conclusion: in a bull market, the securities investment fund's holdings ratio have a negative impact on the stock market; in a bear market, securities investment fund holdings behavior begin to stabilize the stock market, which is not significantly. And from a whole market cycle perspective, through both bear and bull phases of stock market, securities investment funds holding aggravates the price volatility of the stock market.A sound financial market system is vital for the securities investment fund to stabilize the stock market. And this article provide some relevant recommendations regarding the quality problem of listed companies and existing issues of regulatory system in China's stock market and give a brief analysis about the innovation of investment products and expansion of market-oriented investment channels for institutional investors.