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A Study of the Impact of Securities Investment Fund on the Stability of the Stock Market of China

Author: ZhangLing
Tutor: XiaHongFang
School: Zhejiang University of Finance
Course: Finance
Keywords: Securities Investment Fund Co-integration test Granger causality test Herd Behavior Feedback Strategy
CLC: F832.51
Type: Master's thesis
Year: 2010
Downloads: 141
Quote: 0
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Securities Investment Fund is the main body of institutional investors, and play an important role on China’s stock markets as well. The main purpose of developing securities investment funds is to stabilize and regulate the market. Whether the funds could stabilize the market and regulate the development of it has always been controversialThis paper studied the impact of securities investment funds on China’s stock market from theoretical analysis and empirical testing. At the theoretical level, Securities Investment Fund has four characteristics (scale economies effect, specialization advantages, principal-agent architecture, portfolio investment), sometimes it make the fund to invest according to the value of the sheer, and hold them for a long time;but,it also can make them to manipulate stock price. This part of the paper analysis the relationship between the Securities Investment Fund and the stability of stock market, research the funds how to influence the stability of stock market.The empirical study examines the relationship between the stock price index and the fund index, using Co-integration model and Granger causality test. In this part I tested the relationship between China Securities Free Float Index and CSI Stock Fund Index, and found there is no obvious Co-integration relationship between the stock price index and the fund index, regardless in long-term. ECM indicates the funs can’t stabilize the stock market. Through Granger causality test, I didn’t found obvious causality, the Fund did not stabilize the stock market.The following section is to study the behavior of Securities Investment Fund, using the theory of Behavioral Finance. In this part I studied the“Herd Behavior”and“Feedback Strategy”respectively, and explained why the Securities Investment Fund fails to play an important role in stabilizing China’s stock market.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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