Study On Impact Of Open-ended Funds To The Volatility Of Chinese Stock Market

In the Chinese securities investment market, open-ended funds as the representative of institutional investors, are developing rapidly with the scale of expansion, which are in the growing influence of the Chinese stock market. However, open-ended funds in the show of savings funds, increasing the capital market efficiency, improving the stock market structure, at the same time, the flock effect, short-sighted, huge redemptive, frequent problems in and out of the stock market seriously of open-ended funds impact on the stability of stock market. How to recognize the system factors of open-ended funds and the negative effects to the stock market stability caused by the factors, has important theoretical research value and practical values, which is also very necessary to promote the development of open-ended funds. Based on this, this paper, from the analysis of open-ended fund system, with financial market theory, portfolio theory, behavioral finance theory and other modern financial theory as the theoretical basis of research, using the qualitative and quantitative method, will analyze the influence mechanism of the volatility of stock market caused by the open-ended funds comprehensively. The research of this paper is mainly divided into the following seven aspects:The first, in this paper, the author analyzes the close-ended funds and open-ended funds comparatively. Based on this, this paper will focus on the analysis of the influence of open-ended funds to the stock market volatility.The second, this paper analyzes that the open-ended funds is a operation system, which provides the theory basis for selecting dependent variable which represent open-ended funds elements in empirical research of the fourth chapter. At the same time, this paper reveals the contract essence of each open-ended funds element.The third, in this paper the author analyzes the development of open-ended funds, and divides open-ended funds stage of development into four stages. Development stage division provides the theory basis to the selection of time samples in the empirical analysis.The fourth, in this paper, the effect that the open-ended funds acting on the volatility of stock market is analyzed theoretically. Analysis shows that the open mode funds in the stock market not only play the role of stability but also aggravate the effects of the stock market volatility.The fifth, according to the time of the open-ended funds entering into the stock market, the analysis is divided into two periods. The stock market volatility of the two period is in descriptive analysis, the conclusion shows that the standard deviation of yield rate after the open-ended funds entering into the stock market more than that before the open-ended funds entering into the stock market.And using GARCH (1,1) model to compare the characteristics of volatility of the stock market before and after open-ended funds entering into the stock market.The sixth, this paper selects the open stock funds which establish before the year of2011for empirical research object, and the Shanghai composite index quarter volatility on behalf of the stock-market volatility index as the dependent variable. According to the system analysis before, the author finds the agent index of each open-ended funds element and establishes multiple linear regression equation. Through the analysis of the regression results in the numerical statistics, the author concludes that each of the open-ended funds factor and the stock market volatility are significantly correlated.The seventh, based on the above analysis, this paper get four research revelations, and gives four countermeasures, namely the accurate positioning open-ended funds; Promoting diversification of fund type, set up effective fund manager incentive mechanism; Take positive strategy management risks and improve fund redemption governance structure. Thus we can effectively reduce aggravating effect of volatility of the stock market caused by open-ended funds.In this study, there are also some innovations. Firstly, in a long interval samples, the paper uses GARCH model to test the stock market volatility empirically. Secondly, the paper analyzes the influence of the factors of fund to stock market from the perspective of systematic analysis. Thirdly, the author finds the agency index of each element to establish multi-factor model. Fourthly, we get management advice from the enlightenments. There are also some shortages. Firstly, the author selected the Shanghai composite index as the research object which is not the representative of the overall performance of the whole stock market volatility. Secondly, the independent variables need further complement and verification in the empirical research. Finally, this article only studies the effect that the open-ended funds take on stock market, so the research is not systematic and comprehensive.All in all, only have the correct understanding of the influence mechanism the open mode fund acting on the volatility of stock market, can we put forward the accurate and practical countermeasures to suppress the increasing effect the open-ended funds acting on the stock market volatility. Thus open-ended funds will be the expected role that is really good for the stability of the stock market.