Asymmetric Dynamic Relations Between Stock Prices And Mutual Fund Units In China

China’s mutual fund industry has boomed during the past three years and is expected to experience increasing growth rates. The relationship between mutual fund and stock prices has received considerable attention in both developed and developing countries. In order to improve the capital market environment, this paper examines asymmetric dynamic relations between stock prices and mutual fund units in China. The thesis can be divided into four parts:First of all, Chapters I mainly elaborate topic background, research significance, research status, as well as research methods.Second, Chapter II introduces the status of China’s capital markets, including stock market and mutual fund, and theory basis about the fluctuation of stock price and theoretical explanation of the relationship between mutual fund and stock prices.Third, Chapter III discusses the asymmetric dynamic relations from macroscopic and microcosmic perspective. To begin with, this thesis uses daily data on SSE 180 Index and SSE fund index in the empirical analysis and finds that stock prices and mutual fund units are cointegrated and the behavior of investment fund is largely affected by stock market volatility. After that, the paper presents a detailed analysis of stock price volatility index and the rate of change of stock-keeping ratio of fund for the period 2011 to 2013.The results show significantly asymmetric relations between stock prices and mutual fund unit.Finally, this thesis proposes some corresponding countermeasures and suggestions against the problems based on econometric results.