The Impact Research Of The Social Security Fund's Holding On Stock Volatility

In June 2003,the social security fund was formally approved to enter the stock market,through investment and operation to realize the maintenance and appreciation of funds.As a special member of institutional investors,the investment behavior and impact effect of the social security fund are attracted by investors and scholars.This paper firstly analyzes the current investment status of the social security fund,and the volatility characteristics of China's stocks.Then on this basis,using the scatter diagram to analyze the relationship between the social security fund holdings and stock volatility.Secondly,this paper explores the impact path of the social security fund holdings on stock volatility,and constructs a game model to demonstrate the influence mechanism.Thirdly,this paper uses the propensity score matching model(PSM)and carries on the empirical test to the panel data of Shanghai Stock Exchange from 2008 to 2016.Finally,from the perspective of holding heterogeneity,the multiple regression model is used to empirically analyze selected stock samples held by the social security fund.The theoretical analysis found that the social security fund can reduce the volatility of stocks and promote the stability of the stock market.The empirical results show that:(1)The social security fund has a certain preference of stock options and tends to hold stocks with good performance and high governance level.These stocks also usually show lower volatility.(2)After controlling the selective bias of the sample,the social security stocks have lower volatility than the common stocks,which show that the holding behavior of the social security fund significantly reduces the volatility of the stocks held.(3)Overall,the holding behavior of the social security fund can stabilize the stock prices.According to classification,the social security fund under different holding characteristics have different stabilizing effects on the stock market.The high,long-term and low-level holding behaviors will reduce the stock's volatility.On the basis of the above analysis,this paper puts forward some relevant policy suggestion,such as “Improving the quality of listed companies,attracting the social security fund injection”,“Guiding the social security fund to participate in corporate governance,promote a virtuous circle of investment environment”,“Improving the information disclosure mechanism of the social security fund,reducing the risk of information asymmetry”,“Increasing the social security fund to enter the stock market,standardizing the social security fund investment behavior”,so as to fully optimize the investment behavior of the social security fund,and strengthen the social security fund's role in reducing stock volatility.