Investors Cognition And Share Price Volatility

After the share structure reform in 2005, our country securities market more transparent and efficient market environment, the continuous increasing of institutional investors to participate in the concept of investors also tend to be more rational, but there are still more abnormal fluctuations. At present, there have been many scholars research shows that China’s stock market is a typical "policy market", the vast majority of abnormal fluctuations are introduced by the government of all kinds of policy implications.Therefore, in the paper, based on China’s stock market, combining the behavioral finance theory and institutional economics, with margin system as background, through theoretical analysis and empirical model analysis to the current situation of China’s stock market: institutional change will bring investors cognitive change? Investors how the change of cognitive function by influencing the investors behavior in the stock market? Institutional change, investors, cognition and there is what kind of relationship between the stock price?The paper includes the theoretical research and empirical analysis. In theoretical analysis, the system of scholars at home and abroad on the cognitive system background, investors and stock price volatility correlation research results and shortage, introduces the theories of the paper involves the analysis and the main concepts, and put forward the thesis of two assumptions.In empirical analysis, construct DID model, margin system as the cut-off point, investors before and after the system cognitive effect on stock returns and stock price volatility, And from the perspective of enterprise nature, it can be divided into state-owned enterprises and non-state-owned holding companies are grouped contrast research, from the perspective of investors’ cognitive analysis of the causes of differences.On this basis, the stock price volatility in the robustness test is divided into fluctuation amplitude, the influence of the implementation of the system of share price direction.Through theoretical and empirical analysis concluded: Implementation of margin trading system, the underlying stock increases stock returns, while equity volatility is negative, the stock stabilized, volatility is reduced. But the margin of fluctuation of the stock market affect the direction is not clear, it can not determine the impact of price fluctuations on its margin generated by the underlying stock is "fueled" or "shadie"...