Research On The Influence Of Public Quantitative Fund Holding Behavior On Stock Market Volatility

At present,public funds have become the largest institutional investors in China’s stock market,and their investment behaviour has an increasing impact on stock market volatility.In recent years,quantitative investment has gradually been recognised and widely adopted by domestic public funds.The application of artificial intelligence to securities investment has become a hot issue internationally at present,and more and more factors that have a significant impact on the securities market have been unearthed,providing a greater basis for selection in the securities market.As the size and number of quantitative funds continue to increase,the impact of their holding behaviour on stock market volatility is receiving increasing attention from investors and regulators.Against this background,this paper uses the TGARCH model to estimate the volatility of the SSE Composite Index,the CSI 300 Index and the CSI 500 Index,and analyses the impact of public quantitative funds’ holding behaviour on stock market volatility by constructing an unbalanced panel data model,and empirically draws the following conclusions:(1)When the market capitalisation of public quantitative funds increases,the volatility of the index market in the current period and the next period will be exacerbated to a certain extent,especially for the CSI 300 index market;(2)The position of public quantitative funds is more likely to cause market volatility in a bear market;(3)When the inflow of funds from the north into China’s stock market increases,it will reduce the volatility of the Shanghai Composite Index,CSI 300 and CSI 500 index markets in the current period and the next period,and play a certain degree of market stabilisation role for China’s stock market.Based on the empirical evidence combined with case studies,this paper finds that:(1)Among the stocks in which FG Quantitative Fund has long positions,such stocks tend to show an increase in share price in the current period,but after the long positions,such stocks more commonly show a greater degree of decline;(2)Through the analysis of position concentration,it is found that the positions of active and index-enhanced quantitative funds will be more concentrated in bear markets,while the positions of bull markets will be more;(3)The ratio of position styles reveals that active,passive index,index-enhanced and quantitative hedge funds prefer large-cap stocks and growth stocks,which further indicates that quantitative funds prefer to select stocks with high market capitalisation and high growth rate as investment targets in order to achieve risk control while ensuring high growth rate of return,for example,stocks in high-end manufacturing,photovoltaic,new energy and other industries are the main choices of quantitative funds.For example,stocks in high-end manufacturing,photovoltaic,new energy and other sectors are the main directions chosen by quantitative funds;(4)There is a full intermediation effect on the volatility of the stock market by influencing the fund index return through the position behavior of the Fortune quantitative funds.The specific impact path of FGQF’s position on stock market volatility is as follows: when the market value share of FGQF’s position increases,it drives down the return of the fund index,which in turn exacerbates the volatility of the Shanghai Composite Index and the CSI 300 Index in the current period.Based on the above findings,this paper puts forward four policy recommendations for market regulators:(1)Improve securities laws and regulations and strengthen the regulation of quantitative fund market positions;(2)Correctly guide over-the-counter funds and improve the regulatory system for securities indices;(3)Enrich the quantitative fund product matrix and reduce the convergence of fund investment behavior;(4)Strengthen stock market information disclosure and reduce information asymmetry.