Study on impact of Institutional Investor on Stock Market Volatility
Regarding the composite indexes in Shanghai and Shenzhen stock markets as research object to analyze the impact of institutional investor on stock market volatility. This paper chooses two representational events, include with the appearance of the first closed-end funds in 1998 and the implement of stock investment funds law in 2004, and uses EGARCH model to structure the volatility model, based on the idea of piecewise modeling. The result shows that institutional investors greatly affect the index volatility in Shanghai and Shenzhen stock markets, and the effect on tock market translated from anti-stabilization into stabilization.
Institutional Investor Volatility EGARCH Model Piecewise Modeling
Guo Xiao Yang Naiding Dong Tieniu
School of Management, Northwestern Polytechnical University, P.R.China, 710072
国际会议
The International Conference on Management of Technology(2008太原技术管理国际研讨会)
太原
英文
430-435
2008-08-01（万方平台首次上网日期，不代表论文的发表时间）