Research On Stock Price Volatility From The Perspective Of Institutional Investors’ Shareholding Preference

As of this year,China’s A-shares market has been developing for more than 30 years,and both the market size and the types and numbers of listed companies have been greatly improved.After 2000,China put forward the policy of vigorously developing institutional investors and increasing the diversity and stability of the capital market.As a result,the scale of institutional investors increased and the types of institutions gradually diversified.However,at the same time,the research on the influence of institutional investors’ shareholding preference and shareholding ratio has not drawn definite conclusions,and the corresponding policy measures are not perfect.Current research lacks the study of behavioral differences of different types of institutional investors holding,the existing related research regardless of institutional investors holding positions,the heterogeneity of different institutional investors holding preference,institutional investors holding behavior notice effect of inter-temporal influence factors such as the reasons,and these factors are usually the important factors influencing the relationship between institutional ownership and stock volatility.This paper first analyzes the development status of China’s A-share market and institutional investors,and makes A theoretical study on the current situation of a-share market volatility and institutional investors’ shareholding.Then it makes a theoretical study on the relationship between institutional investors and stock price volatility.Then,the propensity score matching model(PSM)and a-share panel data from 2010 to 2020 are used to study the shareholding preference of institutional investors.Subsequently,fama-Mac Bath regression analysis was further used to analyze the heterogeneity of different institutional investors’ shareholding preferences,and to preliminarily test whether institutional investors’ shareholding behavior would affect stock price fluctuations.Finally,the specific relationship between institutional shareholding and stock price fluctuations was studied through Fama-Mac Beth.The empirical results show that :(a)institutional investors prefer the stocks of listed companies with good financial status,high governance ability and large asset scale.(b)The shareholding ratio of institutional investors is positively correlated with the volatility of stock returns.The higher the shareholding ratio of institutional investors is,the higher the volatility of stock prices will be.This correlation is significant in both heavy and light positions of institutions.(c)There is a significant positive correlation between the current shareholding ratio of institutional investors and the volatility of stock returns in the next period,and this relationship is more significant in heavy stocks,but not significant in light stocks.The higher the shareholding ratio of institutional investors,the higher the volatility of stock price in the future period.(d)Different types of institutional investors have different influences on stock price volatility.Funds,securities brokers and banks will lead to increase of stock price volatility,while QFII will lead to decrease of stock price volatility,and social security and insurance will have no significant influence on stock price volatility.