| China's securities market started in the early 90s of the last century, and had made great achievements. But there were still many shortcomings and defects compared with the markets of Europe and other developed countries. Due to the market volatility and strongly speculative characteristics, a logical policy recommendation is to develop the institutional investors, especially the securities funds. However, with the development of investment funds, we fund that the market behaviors of the securities investment funds were irrational, still have their own deficiencies. In China's securities market, did the fund play a role in stabilizing the stock market? The purpose of regulatory agencies was reached or not,these important problems need to face and answer.Firstly, the paper reviewed of the basic characteristics of the funds development and the status of securities investment funds in China. Then, it analyzed the academic literatures on the stock market volatility, in order to propose more rational research methods and research perspective. Under this premise, the paper empirically studied the impact of the securities investment funds on China's stock market from the perspective of micro and macro in this time of the financial crisis. Finally, for the above empirical results, this paper discussed the relationship between fund market and the stock market by the co integration.At the micro perspective, the paper put the standard deviation of interest rate as a measure of stock market indicators, and to reflect the fund's transactions by the shareholding ratio of securities investment funds. Then, established a multi-variable linear regression model. In terms of the macro point, the paper considered other macroeconomic factors, such as money supply, GDP, interest rates and so on. Finally, the thesis used the market index and the index as variables to study the co integrations relationship between the two markets.The empirical results from the microscopic point of view, before the financial crisis, namely that the behaviors of securities investment funds exacerbated the stock market volatility, during the financial crisis, we are unable to determine the role of the fund acts certainly on the stock market. At the macroscopic perspective,the empirical results show that, in the period before the financial crisis, the relationship is a significant positive between the stock market volatility and ownership percentage, when the shareholding reduced by 1%, the stock market volatility will increase by 26.17%, showing that investment fund transactions t the volatility of the market。In the financial crisis, when the Fund's ownership percentage increased by 1%, the stock market volatility will be reduced by 7%, in this time, investment behavior of the investment funds played an active role on the stability of the stock market. Based on the cointegration, from the entire range of point of view, we can not determine the long-term stable relations between the two markets.Therefore, the paper argues that the securities of investment funds on the stock market is also difficult to give a unified conclusion, the roles are different in the different periods. Overall, the negative impact on the stock market fund is greater than the positive impact.The innovations of the paper have three main points:The first is micro-research, studies in the literature based on the empirical analysis,the model was modified, making the model better reflect the actual relationship between variables.Second, the article made a mpirical analysis from a macro perspective, in the past study of literature, after the conclusion, some scholars put the macroeconomic variables as factors and to do the theoretical analysis.Third, the paper made a analysis from three perspectives:the micro,the macro perspective and the cointegrations between the markets, the results have a certain comparative analysis,made the study points are more comprehensive and persuasive. |
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