Research On The Influence Of Institutional Investors' Shareholding Ratio On The Volatility Of China's Stock Market

As we all know,the study of neoclassical financial theory and behavioral finance theory shows that in an effective capital market,the noise trading caused by the limited rational behavior of individual investors will be stabilized by the rational behavior represented by institutional investors in the long-term perspective.Short-term,partial financial visions in the real capital market will also often exist.In a capital market dominated by individual investors,there are often phenomena such as large stock market volatility and high turnover rate.Since the establishment of China's stock market,there have been many individual investors with the purpose of speculation.The high volatility of the stock market and the high turnover rate have already affected the efficiency construction of China's capital market.Therefore,vigorously developing institutional investors and playing the role of their market stabilizers is an effective way to streamline the capital market in China.Institutional investors have specialized investment teams,standardized investment behaviors,and sufficient capital scale to ensure that they diversify their investments when investing and build a combined investment structure,which is representative of rational investment behavior.Since the 1960s,the proportion of institutional investors in the world's capital markets has risen significantly,with a higher proportion of 70%.Although the development of institutional investors in China is relatively late,in recent years,it has grown rapidly under the support of relevant policies,forming funds,brokerages,brokerage wealth management products,QF?,insurance companies,social security funds,enterprise annuities,trust companies,and finance.These diversified investment groups,such as companies,have become important players in the capital market.It is worth noting that the behavior of institutional investors is a rational act?Does the shareholding ratio of institutional investors reduce the abnormal fluctuations in the stock market?These important issues have attracted the attention of many scholars.This paper firstly sorts out the theories and literatures of institutional investors and stock market volatility in domestic and foreign scholars in chronological order,and then analyzes and organizes the mechanism of institutional investors' influence on stock market volatility from behavioral finance theory and effective market hypothesis.Then based on these theories,the panel regression model is used to empirically analyze the effect of institutional investors' shareholding ratio on stock yield volatility,and the robustness test and heterogeneity test are carried out.The heterogeneity test includes the empirical analysis of sub-industry samples and sub-sector samples.The industry is mainly divided into real estate,industry,public utilities,finance,commerce,and comprehensive.The sector is mainly divided into main board,small and medium board,second board market.The empirical results show that institutional investors are indeed conducive to reducing stock market volatility.After industry classification,the coefficient of the comprehensive industry is not significant,and the stability of institutional investors in the real estate market and industrial market are higher,and the the regression coefficients in real estate,commerce,and public utilities are relatively large.After the sector classification,the coefficient of the second board market is not very significantly,the main board,small and medium board,second board markets also support the view that institutional investors could stabilize stock market.Finally,based on the empirical results,relevant recommendations are proposed for further standardizing institutional investors and stabilizing the stock market.The innovation of this paper is to comprehensively consider the time series data and the cross-section data.The 1,500 stocks in the Shanghai and Shenzhen A-share market are selected for enpirical research.The standard deviation of stock returns is used as a measure of stock market volatility during panel regression.Research at the level makes the study of the correlation between volatility and shareholding ratio more specific;and compared with most of the research on the Shanghai Composite Index or Shenzhen Component Index,the study of individual stocks is more direct to the stable development market.In addition,in the process of empirical analysis,the data to be used in this paper is divided into six categories according to industry:public utilities,real estate,industry,commerce,finance and comprehensive industry.They also are divided into main board,small and medium board,second board market for comparative analysis.From the perspective of analyzing the conclusions of the stock market,the empirical research is more substantial.The shortcoming of this paper is that the data on the shareholding ratio of institutional investors is quarterly,so all the data is compiled on a quarterly basis.However,the shareholding ratio of institutional investors is not a constant value for a period of time,so processing may affect the research results.In addition,some factors that may affect stock returns,such as the academic qualifications and age of the board of directors,are difficult to obtain and are not included in the paper,this may have an impact on the research results.