Research On The Relationship Between Sunshine Private Fund And Stock Market Volatility

Sunshine private fund has been developed in our country for about ten years,in general,sunshine private fund has made a great contribution to many aspects,such as making the private fund become more transparent,enriching the financial products,optimizing the composition of investors and introducing the advanced quantitative analysis tools,however,like every coin has two sides,the sunshine private fund is without exception.Stock market volatility is always a hot topic in theoretical study,as a newly-developing institutional investor,sunshine private fund gains a growing influence on it,therefore,the study of the relationship between them is of great necessity.In the aspect of theory,we apply the theories of finite rationality,market speculation and manipulation behavior,herd effect,short sighted investment difference to demonstrate that sunshine private fund may increase the volatility of the stock market.On demonstration aspect,we select Shenzhen component stock index from 1997 to 2016,quarter share of sunshine private fund,quarter volatility rate of Shenzhen component stock index as samples,firstly,we apply the ADF test,ARCH effect test,GARCH model to demonstrate that sunshine private fund has an effect on the local volatility of stock market;secondly,we use the regression model to measure the effect of sunshine private fund on local volatility of stock market;lastly,we introduce the LSV model to test whether sunshine private fund has a herd effect.With all above,we get some conclusions as follows:sunshine private fund has an positive effect on the volatility of stock market,although not significant;the higher shareholding ration the sunshine private fund gets,the greater the individual stock waves;in the different stage of the market,the shareholding ration of the sunshine private fund has a specific effect on the price of stock;when the market is on the stage of adjustment or rising,the sunshine private fund has an positive effect on the price volatility of the stock;but when the market is in decline stage,the sunshine private fund plays an important role in slowing down the price volatility of the stock;besides,the herd effect exists between different sunshine private fund,which is very obvious.The main innovation points of this article are as follow:we demonstrate the relationship between sunshine private fund and the stock market volatility in global and local aspects for the first time;we analyze whether sunshine private fund system will increase the volatility of the Shenzhen component stock or not by introducing the GARCH model;with all the data available,we regression analyze whether the proportion of shareholding the sunshine private fund gets will affect the volatility of the stock price.