Securities Investment Fund Behavior And The Shanghai Composite Index Dynamic Correlation Studies Based On VAR Model

Securities investment fund has the characteristics of large capital scale and big amount transaction. Received wide attention from different parts of the market. Objectively, assigned a larger influence on the market and so to some extent has the initiative to actively influence the market price Therefore, whether securities investment funds has the ability to influence the stock index, influence how much and whether the securities investment fund stock market manipulation exists, it was always been an important issue of financial market research. In relevant research literature, the researchers focus on the core variable is the securities investment funds holding stocks or the share ratio of the whole stock market.The analysis of the related research of securities investment fund behavior and the Shanghai composite index found that there is a strong correlation between them. Based on the comparative analysis of related literature, firstly, using general statistical analysis method, this article analysis the relationship between the securities investment fund behavior with the Shanghai composite index, And then through theoretical analysis, the paper analyzes the influence on the securities investment fund market by approach and method to measure Finally, through the establishment of vector autoregression model and vector error correction model, analysis the long-term equilibrium and short-term fluctuation relationship between Shanghai composite index and securities investment fund behavior, Cointegration test indicates that there is a long-term equilibrium relationship between the shareholding ratio of securities investment funds, ownership concentration, industry concentration and position level, the influence of Shareholding ratio and the level of position to Shanghai composite index is greater than the influence of ownership concentration and industry concentration. Through the establishment of vector autoregression model and vector error correction model analysis the relationship between the securities investment fund behavior and the Shanghai composite index concluded:in the short term fluctuations deviated from its long-term equilibrium, error correction has its reverse correction mechanism to make the system back to equilibrium.