| Driven by the rapid economic development, Chinese stock market has obtained fast development. But at the same time, stock market volatility also gradually increased. In the last ten years, Chinese stock market appeared Roller coaster Market: Since October 16,2006 to October16,2007,the Shanghai Composite Index rise from 1747.77 points to the highest point of 6124.04 points, then on October 28, 2008,it fell down to 1664.93 points. History always striking similarities, the Shanghai Composite Index rise from more than 1,900 point to 5178.19 highs since March 12, 2014 to June 15, 2015, and it takes just two months fell to 2850.71 points. The market structure which is dominated by the retail investors is considered to be the main cause of the stock market rises and falls. For the purpose of optimizing the structure of investors in Chinese securities market, curbing excessive speculation in the stock market, and reducing the stock market volatility, the management put forward to the strategic of strengthening institutional investors, hoping that with the help of institutional investors rational and scientific operation to offset the irrational behavior in the stock market, so as to achieve the aim of stabilizing the market. Driven by this strategy, it just took only a few dozen years that Chinese Securities Investment Funds achieved leapfrog development, which process the developed countries have gone through a hundred years. Now, Chinese Securities Investment Funds has formed a considerable scale, it has become one of the most important institutional investors in Chinese securities market, and the securities investment fund is also one of the most important investment tool which individual investors always use. The behavior of the Securities Investment Funds has more and more influence on Chinese securities market. However, at present academic for the proposition whether the securities investment funds can reduce market volatility was not settled yet. The opinions about whether or not the fund has become a "big retail" varies. Therefore, the correct understanding of the behavior of the securities investment funds and its impact on the stock market is the important condition to achieve the healthy development of the securities market and improve the securities market.The problem this article focuses on is: under the condition of without considering other factors, in this volatile stock market, securities investment funds which the management has sent hope to has played what role in the stock market? This is also the development of China’s securities market must be solved, which has great practical significance.Firstly, this paper described the relevant concepts of securities investment funds and the definition and measure of the volatility of the stock market. On the basis of combining domestic and foreign researches, we analyze the positive and negative effects of securities investment funds on the stock market. Then by using descriptive statistical method, this paper analyzes the current situation of securities investment funds and the stock market.After the theory and present situation analysis of both two, by using empirical research method, this article analyzed the influence of securities investment funds on stock market volatility from the macro and micro level. On the macro level study, by constructing TARCH(1,1) model, we analyze the impact of the total net assets of securities investment funds on the Shanghai and Shenzhen market index return for the empirical, the results show that instead of stabilizing the market, the securities investment fund has contributed to the volatility of the market index; in micro level analysis, by using the funds before 10 holdings company data from the third quarter of 2010 to the fourth quarter of 2015,through constructing panel data model, this article analyzed the influence of the funds on the listed company?s share price. The result showed that the proportion of holdings of securities investment funds did not significantly affect the listed company shares yield difference.After the empirical analysis found in this paper, the securities investment fund which the management sent hope to did not play the role of a stable market, but to a certain extent, securities investment funds failed to reduce market volatility. It may be associated with the unreasonable system of performance evaluation of the fund manager, our country?s failure to establish trust culture and the investors structure dominated by retail.Therefore, this article from two aspects of the securities market which affects fund to play the role of stabilizing the market and fund itself puts forward related suggestions,which has certain guiding significance to the healthy development of securities investment funds, and its reasonable positioning, and the perfection of the securities market. |
PDF Full Text Request