Relationship Of Securities Investment Fund And Stock Market Volatility In The Empirical Research

The stock market in China has gone through rapid development since it came into being, but volatility has always been its major shortcoming. Individual investors have long been regarded as the main trigger for abrupt fluctuation of share price. To improve investor structure, stabilize stock market and curb excessive speculation, management sector put forward the strategy of a huge boost to institutional investors, believing that institutional investors is possessive of professional investment tools, scientific analysis methods, as well as investment philosophy. Also under the guidance of this strategy, securities investment fund in China has made considerable progress, accomplishing in several decades what developed countries had achieved in several centuries. Nevertheless, it is still unclear whether securities investment fund is capable of market stabilization and regulation, and whether fund has become "the biggest individual investor". Thus, it is vital to have a correct understanding of the investment behaviors of securities investment fund and its relation with stock market fluctuation for a healthy securities investment fund and finely-constituted securities market.Using theories of behavioral finance, quantitative economics, and statistics, this thesis takes the influence of securities investment fund to stock market volatility as the object and gives it a comprehensive analysis from three perspectives, the correlations of fund entrance into the market, herd effect and positive feedback strategy to stock market fluctuation, on the basis of a discussion of fund investment behavior through theoretical analysis and empirical research. The study shows that after the emergence of securities investment fund in the market, ARCH effect is obvious and volatility sees no decline, securities investment fund induces evident herd behavior which in turn increases stock market fluctuation, and positive feedback strategy is found to be adopted in fund investment in China, that is, investors buy on the upswing, and sell on the downswing and they are prone to the strategy of chasing the winner and cutting the loser.The main reasons for the failure of market stabilization of fund includes immature development of overall securities market, poor quality of listed companies, incomplete management structure of fund by itself and unjustifiable evaluative system. Given all this, this study gives constructive suggestions to two sides:securities market and fund, contributing to the healthy development and reasonable positioning of fund and the further development of securities market.