| Since China's accession to the WTO,the process of internationalization of the financial market and the integration of the global economy has continued to advance,and the size of China's stock market has also grown.However,what followed was the repeated stock price surges.In order to improve this situation,the China Securities Regulatory Commission put forward the policy of supernormal development institutional investors and hopes to promote the asset allocation efficiency of the securities market by improving the structure of investors in China.Under the guidance of this policy,China's institutional investors have launched,and the exhibition has gradually occupied a pivotal position in the capital market.For a long time,we all think that securities investment funds are rational as an institutional investor,but is there a clear herd behavior of institutional investors in the A-share market? Does the institutional investor's herd behavior affect the stock price fluctuations in the A-share market? If the answer is yes,is the effect of buying a herd behavior and selling a herd on the stock price volatility the same? The above question has not yet found a clear answer in the existing literature.In this paper,the LSV model is used to measure the behavior of the securities investment fund's herd behavior.Then the vector autoregressive model is established for the relevant variables,and the subsequent model research is carried out.The following conclusions are drawn: China's securities investment funds have a significant sheep population as a whole.Behavior,stock market volatility is mainly affected by the behavior of buying herds and selling herds.Buying herd behavior will continue to increase stock price volatility,while selling herd behavior will not have a significant impact on stock price volatility in the current period.It will increase the volatility of the stock market during the lag period.In the long run,selling sheep will actually slow down stock market volatility. |
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