Open-end Fund An Empirical Study On The Chinese Stock Market Volatility

Since the open end fund was introduced in 2001 in China.with the steady expansion of the scale of the Fund' s assets,the increasing number of investors,the market influence also has markedly increased.Launched an open-end fund is designed to eliminate the impact that the market of individual investors as the main cause excessive volatility on the stock market,achieve objectives such as protecting investors,ensuring market integrity and reducing systemic risk.However.because China' s securities market is an emerging market and in a transition period.Open-end fund as a management tool to stabilize the market,itself determine its impact on the stock market with a certain policy.The current policy of transparency. continuity and stability are imperfect.it has increased the volatility of the stock market.This thesis attempts to uses relatively mature ARCH models to conduct an empirical study about the impact open-end funds on the chinese stock market.Using GARCH and EGARCH models to conduct statistical analysis and data fitting of all workday data of Shanghai Composite Index and Shenzhen Components Index.With the introduction of open-end fund as a dividing line. it compares the variations of stock market volatility and evaluates whether the volatility structure of the stock market has changed.The conclusions of this empirical study are as the following:the introduction of open-end funds,did not play the roles on stability of China' s stock market and reducing volatility obviously.There is a notable leverage effect in China' s stock market,negative messages produce a bigger impact on stock market volatility than positive messages.This was mainly due to the characteristic of our policy is very clear,the government' s driver on the awareness and consciousness of the macro-control have a strong guiding role on investor behavior in the stock market.Government policies can not be expected made investors exist "policy-dependent error".means over-confident or excessive panic,the main frequency of transactions with the promulgation of a policy and policy direction changes,investors in the stock market negative attitudes prevail.So from the view of policy makers.the development of efficient capital market is the premise and foundation of institutional investors play its role in stabilizing the stock market,it calls for the government change frequent intervention in the market into the strategic macro guidance.To establish and improve the operating rules and good market orders for China's stock market. maintaining market rules and the seriousness,promoting the standard development of the market timely.