A Study On The Influence Of Investment Behaviors Of Chinese Public Fund To The Volatility And Yield Of Chinese Stock Market

Public fund in China was born in 1998.Nowadays,it has developed nearly 20 years.In this process of the nearly 20 years of development,public fund grows rapidly,and has become one of the most important institutional investors on stock market.The influence of its investment behavior to stock market is increasing day by day.Compared with private fund and other institutional investors,public fund has higher information transparency and wider investors.The regulation to public fund is also stricter.Globally,regulators of each country try to curb speculative excesses in stock market,spread and eliminate the risk of stock market,and guide stock market to a more rational direction by the supervision and management to public fund.However,in the reality,public fund receives the pressure of ranking and investor redeeming.So,its investments exist all kinds of irrational behavior inevitably.With the development of behavioral finance,many domestic and international studies have shown that the investment behavior of public fund exist herd behavior and momentum and contrarian trading behavior.These behavior will be contribute to the profit of individual stocks and increase the volatility of individual stocks.But for the whole stock market,the investment behavior of public fund increase the instability of stock market,or act as a role to stabilize stock market,there has been a significant controversy all the time.This problem also exists in our country’s capital market.Thus,both for the vast number of investors,or the supervision and management,even the development of our capital market in depth and width,related researches to the investment behavior of public fund have practical significance.Based on the behavioral finance theory,this paper studies the influence of the investment behavior of public fund to China’s stock market.First of all,define the investment behavior of public fund.We select fund size and fund turnover rate,two of the most important indexes,as the research object.Then,we make the empirical research to find the effect of investment behavior to Shanghai and Shenzhen 300 Index(CSI 300).In the specific empirical research process,using logarithm yield of CSI 300 as sample data,we establish GARCH model.Then we add fund net asset values and fund turnover rates as exogenous variables respectively,to find the effect of the investment behavior of public fund to the volatility of CSI 300.After that,using VAR model,we illustrate the influence of the investment behavior of public fund to the yield of CSI 300.From the results of the empirical research,whether the net asset value or the turnover rate,the influence on the volatility of CSI 300 are not significant.On the other hand,there has a long-term stable equilibrium relationship among fund net asset value,fund turnover rate and CSI 300 yield.What’s more,fund turnover rate can predict CSI 300 yield in some word.In the yield aspect,we believe that the investment behavior of public fund has demonstration effect to some extent.When the turnover rate increase,it will give other investors higher expectations for the future,and the push the market yields increase;On the other hand,higher market yields will let public fund invest more capital into the market.In the volatility aspect,because the different public funds get different information and make different reaction to same information,despite public fund has some rational behaviors,these rational behaviors of public fund cannot increase or decrease the volatility of the market significantly.Finally,based on the above results,we put forward some enlightenments and suggestions to the regulator.As one of the major participants in the market,public fund should strengthen their own moral hazard prevention.Regulators should supervise and urge the investment behavior of public fund,and guide them to build more rational investment values.Only in this way can public fund take advantage of its information and capital to stable our stock market.In addition,we also point out some drawbacks of this paper,such as less sample size,and some problems which need to be studied further.