The Research On Fund Families Competition Affccting Stock Market Liquidity In China

Using pooled time series and cross-section data regression method and Fama three-volume expansion model to study how the difference of competition features variable factor among fund families to affect the stock market for the first time .This paper is organized as follows:Chapter I is the introduction, this section briefly shows the research background and research motives, the related literature both at home and abroad, and then points out the innovations and shortcomings of this paper.Chapter II firstly introduces the reason for existing of fund families on the angle of transaction costs and asymmetric information, and then analyzes the competitive structure of fund families, finally summarizes the transmission mechanism for fund family competition's impact on the stock market liquidity from a view of the market microstructure of the theory.Chapter III shows the relationship between fund families characteristic variables and the stock market liquidity from the empirical perspective. This section using regression methods to test empirical the impact of the competition on the fund family shares market liquidity and volatility of. Results show that in two situation both absolute and standard difference, fund size, risk tolerance of investors can not fully explain the movement of the stock market; risk tolerance and liquidity of the stock market relations significantly. From the overall perspective, fund's variable characteristics of the stock market to some extent promote"joint movement."Chapter IV shows the relationship between fund families characteristic variables and the stock market return from empirical perspective. Expanding Fama three factor to make dynamic model portfolio for empirical analysis, results shows that the multi-factor model can enhance the goodness-of-fit of equation after introducing Fund's characteristics variable, a negative relationship exist between number of funds, investor demand and stocks return but positive for fund information; Book-to-market ratio, fund size, fund managers risk tolerance and the investors'risk tolerance can't explain the cross-section return difference for fund heavy holding stock.Chapter V is the conclusion including further study prospects for this paper.