An Empirical Study Of Relationship Between China’s Securities Investment Funds And Volatility On Stock Market

The capital market is an essential part of the country’s financial system. It is an important channel of direct financing for the rational allocation. There are two different types of investors in the capital market-institutional investors and individual investors. The impact of the investment behavior of individual investors on the capital market is small for the limited investment scale and asymmetric information. The size of funds held by institutional investors is huge, they can obtain sufficient information management concepts. It plays an important role for the stability of the capital market.As the main force of the institutional investors, the rapid development of securities investment funds is growing very fast with the support of national policy. It impacts the developing of China’s stock market. Although the securities investment funds in the integration of social capital optimize resource allocation and it improve the structure of institutional investors, but its investment activities are still unreasonable. The irrational investment behavior may increased stock market volatility. It is not conducive to the stable development of the capital market. So we need to study the relationship between fluctuations in securities between investment funds and the stock market. It will be important theoretical and practical significance.From the research of the literature on the basis of finishing we find that the relationship between securities investment funds and stock market fluctuations are not clearly. Based on previous studies, I research the relationship between them from various angles by constructing theoretical models.(1) Using macroeconomic data on the scale of securities investment funds and stock market fluctuations correlation between the two modeling.(2) Construct a dynamic panel model from the micro level, on the relationship between the proportion of securities investment fund holdings and stock market fluctuations.(3) In order to study investment funds and stock volatility correlations at different time periods, I research the relationship between securities investment funds and positive feedback behavior. The whole idea of this paper is as follow:Firstly clarify the basic concepts and features of securities investment funds and stock market stability, and analyze the possible impact between them. Secondly, analysis the causes of this effect from differents angles. Finally, analysis the reason of this effect put forward countermeasures and suggestions. On research methods, using the vector autoregression model to research the relationship between the monthly data on net assets in securities investment funds and the Shanghai Composite Index closing price of the monthly variance; using the structural dynamic model of the micro-level panel to research the relationship between the proportion of investment funds and stock holdings fluctuations;The empirical study is drew the following conclusions:(1) On the macro level, I find the scale of securities investment funds and the volatility of stock market was a positive correlation. It means that the size of the securities investment fund will enhance the volatility of stock markets.(2) On the micro level, the fund’s holdings of securities investment will increase the volatility of the stock markets.(3) There are obvious herd behavior and positive feedback trading behavior of China’s securities investment fund market. Securities investment funds has significant "chase sell" tendency.The innovation of this paper is as follows:Researching the relationship between securities investment funds and stock market volatility from different angles. Firstly, from the macro and micro level empirical research on securities investment funds and stock market volatility relations; Second, consider the impact of research investment behavior of securities on the stock market, by constructing a model of the securities in the investment market presence "herd behavior" and "positive feedback trading behavior" for the measurement and empirical research. The research levels are relatively abundant.