The Research On Fund Flow And Stock Price Fluctuation In A Share Market Of China

As a kind of tool measuring cash flow of stock market and the whole market,fund flow is mainly used to reflect the fund flow of stock.Fund flow supply a kind of technology of making investment decision and for national policy carried out.After the definition of fund flow was proposed in 1989,it as a new index element drew wide attention from finance researcher.Academic community research fund flow mainly on finding the relationship between fund flow and stock price fluctuation by using cross-section data or time-series data,instead of with the appliance of dynamic panel,because in the constantly changing stock market,it is impossible to find all influence factors from numerous influence factors which including uncovered information and covered information.Lucubrating fund flow can not only cover the shortage of research on influence factors of stock price fluctuation,but also provide an effective reference index for rescuing stock market with fund.This paper selects 1085 stocks from which is the data of A share public company from 2009 to 2014 by reviewing foreign and domestic documents,and builds balanced panel data model by using the fund flow as main explanatory variable with the help of intermediate variable which influence stock price.This paper firstly conducts regression analysis with terminable fixed panel data which have A share grail index fixed effect.Besides,conducts regression analysis according to two huge industries which is classified in the 2014 by CSRC,and finally conducts Granger Causality Analysis by selecting the SAIC(600104)and SZ(002024)as research object of individual stock.The results are as follow:(1)there are serious multicollinearities among parts of index,and there is error needed amended,that is in panel data regression analysis for 14 variables;(2)find the positive influence and the influence coefficient is 0.1254 with the result of panel regression analysis;(3)in manufacturing industry,wholesale and retail industry,there is positive influence between fund flow and stock return rate and the influence coefficient is 0.0985;(4)for the SAIC(600104)and SZ(002024),the extent of fund flow influence daily return rate little,but daily return rate influence the extent of fund flow a lot.