Panel Quantile Regression Analysis On The Effects Of Institution Owership On Stock Return Fluctuation

With the deepening development of the financial market,institutional investors,as the products of professional and social investment,get rapid development,and gradually dominate the mature foreign markets.Thanks to the "extraordinary development" of the proposed,institutional investors in China's stock market expand in the type and size in just a few decades.Reviewing the history of China's stock market development,although China's institutional investors develop rapidly,the fluctuation of stock market has not gutted eased.Aiming at the relationship studies between institutional investors and stock market fluctuation,we conclude that the institutional investors stabilize or aggravate or have no correlation with the stock market fluctuation and study the mechanism of action.Combining panel data and quantile regression,we establish the panel quantile regression model to study the relationship between variables under different conditions,and get more comprehensive and stable parameters estimate.We divide the stock market into three different markets and study the effects of institutional ownership to listed company's stock return volatility in different stock market quotation.Furthermore,we divide institutional investors into different types and study the roles that these types play in stabilizing stock return volatility.At the end of the article,some suggestions are made on the development of institutional investors.The results indicate that the influence of institutional investors on the stock market fluctuation is different in different conditions.We need take the stock market quotation,the fluctuation degree of stock return and the type of institutions into account.In different stock market quotation,for the listed company stocks with different return volatility levels,institutional investors have different effects.In general,institutional investors have played an intensifying role in the falling and consolidation of stock market,but play a stable role in the bullish stock market.The intensification and stabilization are more significant for active stocks.The impacts from different types of institutional investors to stock return fluctuation are not the same.Unlike non-financial companies and trust companies that play stable roles,securities investment funds and insurers aggravate stock market fluctuation.