Dissertation > Excellent graduate degree dissertation topics show

Multiple Regression Model of Open-end Fund and Stock Market Volatility

Author: ChengXiaoXue
Tutor: WangJianGuo
School: Xi'an University of Architecture and Technology
Course: Applied Mathematics
Keywords: Open-end fund Stock market volatility Multicollinearity Stepwisemultiple regression
CLC:
Type: Master's thesis
Year: 2013
Downloads: 46
Quote: 0
Read: Download Dissertation

Abstract


With the development of global financial markets, the open-end fund has occupied anirreplaceable dominant position in the financial markets. Fund industry is a “sunriseindustry” in China, which has a huge space for development and is the main force in thesecondary market. It can effectively guide the direction of market investment and thusplays a very important demonstration effect for other investors. However, in recent years,with the reform of China’s financial system and the deepening of capital markets, manyproblems are appeared, which has enlarged the volatility of Chinese stock market.Therefore, for the sake of financial investors, how to reduce the risk and maximize thebenefit is the most concerned issue. This makes it important to analyze the impact ofopen-end fund on the stock market volatility.Firstly, this thesis outlines the background, the definition, the development status, therecent research as well as the impact of open-end fund on the stock market volatility andsome research achievement at home and abroad. Secondly, the thesis introduces a multipleregression model and a multiple stepwise regression which eliminates multicollinearityproblem during the modeling. Finally, by combining all the factors based on unilateral ones,selecting the data from2004to2011in Shanghai Composite Index and ShenzhenComposite Index and using EViews5.0software to do multiple stepwise regressionanalysis, a multiple regression model of volatility factors on Shanghai stock market andShenzhen stock market is achieved.The model results and the empirical analysis show that the positive influence of theopen-end fund’s herd behavior, the inner capital flow rate and the net redemption rate onthe stock market volatility is striking, whilst the influence of the lag period of volatility ismilder and the concentration on stocks is the least.

Related Dissertations

  1. Empirical Analysis on Fund Managers’ Qualities and Funds’ Performance,F224
  2. The Study About the Securities Investment Funds’ Holding and Price,F224
  3. Our open-end fund market risk measurement,F224
  4. The Empirical Analysis on the Influence of Short-term International Capital Flows on the Volatility of Stock Market in China,F832.51
  5. Research on the Regime Switchin Aciton in Chinese Stock Market Volatiolity,F832.51
  6. Empirical Research on Momentum Phenomenon and Contrarian Phenomenon of Stock Open-end Fund,F224
  7. Research on a Number of Issues Related to Partial Least Squares Regression Analysis,O212.1
  8. Shanghai Stock Market Volatility Study,F832.51
  9. A Emprical Analysis of Fluctuation Characteristics of the Returns of the Open-end Funds in China,F832.51
  10. Adjusted cash flow model based on the conditions of an open -end fund performance,F224
  11. Preference model based on ownership of our stock-picking strategy of open-end funds,F224
  12. Style-Based VaR Model for Open-End Equity Funds in China,F224
  13. Empirical Analysis on the Market Timing Ability of Chinese Stock Open-End Fund,F832.51
  14. Research of Volatility of Chinese Stock Market Based on ARCH Family Models,F832.51
  15. China 's fund managers stock picking, timing ability and personal qualities An Empirical Study of Fund Performance,F832.51
  16. China’s Open-end Securities Investment Funds Performance Evaluation of the Empirical Research,F832.51
  17. Open-end fund investment strategy research,F224
  18. Research on China's investment fund accounting,F832.5
  19. Bond Fund and its development in China,F832.5
  20. Research on China's stock market volatility,F832.5
  21. An Empirical Research on Stock Market Volatility Influenced by Institutional Investor’s Behavior,F832.51

CLC: >
© 2012 www.DissertationTopic.Net  Mobile