Does Mutual FundsBehavior Enhance the Market Quality-evidence from China Stock Market
In order to reveal the impact of securities investment fund behavior on market quality, this paper starts from the perspective of microstructure of the securities market and utilized the transactional accounts of Shanghai Stock Exchange (SSE) to analyze the shocking effect of impact on market quality (including liquidity, volatility and information efficiency) by securities investment funds through applying the cross-sectional model.The empirical results showed that institutionalization of the structure of domestic investors havent improved market quality significantly.The increase (decrease) of positions by funds transactions has significant impact on immediate liquidity and possesses permanent shocking characteristics.Net changes of positions by funds have led to higher hetero-volatility, whereas funds, functioning as institutional investors, do stabilize market to some degree in the adjustment phase of bull market, especially during the market slump of 2.27 and 5.30 in 2007 ; during the rising phases of stock market, the changes of positions by funds improve market liquidity and enhance informative efficiency of securities market.
institutional investor market quality fund behaviour stock volatility
Zhang Zongxin Zhu Weihua Liu Ti Wang Xiao
Institute for Financial Studies, Fudan University Research Center, Shanghai Stock Exchange
国际会议
The 4th Conference on Chinas Economic Operation Risk Management(2010·Shanghai)(第四届中国立信风险管理论坛)
上海
英文
270-290
2010-10-14（万方平台首次上网日期，不代表论文的发表时间）