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Study on Risk of Chinese Stock Market Based on Institutional Investor Overconfidence

Author: TangYaZuo
Tutor: ChenQiAn
School: Chongqing University
Course: Finance
Keywords: Overconfidence Institutional investors China 's stock market risk
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 128
Quote: 0
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Abstract


Chinese stock market as a typical immature emerging markets, compared to with mature foreign stock market in the background, operational modalities and the course of development there are significant differences, which produces a \the performance of China's economic development deviates from the spike phenomenon and the phenomenon of high turnover. Institutional investors as an important investment in the stock market one of the main psychological preferences and investment behavior is bound to have a profound impact on the Chinese stock market. A large number of psychological research literature suggests that people in economic activities often show a strong sense of overconfidence psychological tendencies. Therefore, from the theoretical and empirical aspects of system-depth study of the institutional investors in the Chinese stock market risk over-confident psychological preferences for strengthening risk management and control of China's stock market to protect the health of the Chinese stock market stability and sustainable development has a very important theory and practical significance. On the basis of the results of previous research on the behavioral characteristics of the Chinese stock market institutional investors a systematic analysis and generalization; followed by institutional investors on the assumption that overconfidence psychological preferences conditions, a mathematical model, studied theoretically institutional investors overconfidence the psychological preferences on the mechanism of the Chinese stock market risk; Finally, on behalf of institutional investors as securities investment funds, institutional investors, fund turnover as overconfidence metrics to stock market-related data for the sample, empirical studies of the relationship between the institutional investor overconfidence psychological preferences and stock market risk. Specifically, this paper is mainly based on the following three aspects of theoretical and empirical analysis: 1, the use of descriptive statistics on the number and size of the Chinese institutional investors are summarized. Then, securities investment funds scale and transaction amount summary and a description of the income situation of the Fund with the Shanghai fund index return rate, the last as a representative of the 16 equity open-end funds, the total market value of the stock held by the Fund are described , fund turnover circumstances. 2, on the basis of the results of previous research on the assumption that institutional investors overconfidence psychological preferences under the conditions of the mathematical model studied theoretically institutional investors overconfidence the psychological preferences on the mechanism of the Chinese stock market risk. The theoretical results show: a positive correlation between institutional investors the level of overconfidence and stock market volatility, the market trading volume, and the negative correlation between the stock market price and quality, investment income. 3 to 16 stocks open-end funds as institutional investors on behalf of China's stock market first quarter of 2004 to the fourth quarter of 2009, the time series data and panel data to measure the market performance, with a market rate of return in order to fund hands rate as institutional investors overconfidence metrics were investigated from two aspects of the stock market index and stock market prices overconfidence psychological preferences of institutional investors in the Chinese stock market risk. The results show that: institutional investors, the higher the degree of overconfidence, the greater the risk of the stock market - the empirical results can be explained to some extent the phenomenon of the Chinese stock market rises and falls and huge risks. The fund's top holdings in the stock market at the macro level and micro level show different results. At the macro level, the volatility of the fund's top holdings of the stock market showed a significant negative effect on the stability of the market has played a certain role; at the micro level, the volatility of the fund's top holdings of the Fund shares held showed a significant positive effect on the Fund's average stake increase will exacerbate the volatility of individual stocks.

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