A Study Of The Impact Of The Holdings Of The Institutional Inverstors On The Stock Price Volatility

At the beginning og the establishment of China's stock market, investors are the mainly individual investors. Because of an obvious speculative motives, the phenomenon that the frequent transaction, short-line trading and buying the incersing stocks and selling the declining ones is severe, so it leads to the volatility of stock price disorder. Financial regulatory authorities in reference to the foreign mature developed capital markets experience, proposed that ultra-conventional development of institutional investors in 2000 as the important measuer, in order to improve the capital market investor structure, stabilize China's stock market and lower the volatility of stock price. Therefore, the influence on a clear institutional investors'impact on the volatility of stock price, not only for the financial regulatory authorities in the implementation of ultra-conventional development stragegies of institutional investors with a practical guide, meanwhile, for the development of other types of investors also have regerential significance.Based on the analysis of the existing institutional investors and volatility of stock market, according to some reasons of China's stock market, such as the quality of listed companies are generally not very well, long-term absence of short selling, the lack of an effective hedging investment instruments, as well as Chinese institutional investors develop shorter, regulatory imperfections as well as institutional investors to take a single evaluation of the profitability indicators of such factors as the existence of institutional investors that short-sighted behavior in China, which through the constant change of investment portfolio, the pursuit of short-term gains, ignoring long-term gains, therefore institutional investors can not be stabilized in China's stock market holdings and the theoretical assumptions of the lower volatility of stock price.On the basis of the methods of Sias (1996), Faugere and Shawky (2003), and QiBin, HuangMing and Chen Zhuosi (2006), this thesis applies the regression models of individual fixed effects panel data and ordinary least squares parameter estimation method, using Shanghai and Shenzhen 300 index of 300 stocks in the quarte from January 4th in 2006 to September 30th in 2009, the proportion of institutional investors holdings, currency A stock market value, the right to re-price and turnover empirical studies on China's stock market holdings of institutional investors the ratio between the volatility of the stock price impact. This thesis obstains the evidence that the proportion of institutional investors holding stock price volatility and a positive relationship between institutional investors holding the increase in the proportion of the stock market does not stabilize and reduce the role of stock price volatility. The empirical results support the previous theoretical assumptions.Finally, under the theoretical and empirical analysis, this thesis proposes to improve the approach to the evaluation of institutional investors and evaluation indicators, improve the quality of listed companies and strengthen supervision and improve the institutional investors market mechanisms, implications and proposals of the innovative investment tools.