Research On Public Fund Holding Behavior Based On K-means Clustering And VAR Model

The stock market has always been an important investment and financing channel for the market economy and is known as the "barometer" of the national economy.However,due to the occasional violent fluctuations in the stock market,sometimes it is impossible to accurately reflect the real market economic development,which hinders the establishment of a well-ordered financial market,and often brings direct or indirect economic losses to investors.Therefore,this article selects the market's investment subject,that is,the investor,to analyze its shareholding behavior.Among them,public equity funds started as representatives of institutional investors in 1998,and have more than 20 years of development history.The overall structure is relatively mature and mature.This paper uses public funds as representatives of institutional holdings to conduct empirical research,focusing on the operating characteristics of the fund's stock holding behavior and whether its stock holding behavior will affect the overall market profitability and volatility.In order to study the characteristics of public fund holdings and its impact on the market,the research content of this article is divided into two parts.The first part is a cluster analysis of public funds.This article uses the net asset value of the public funds and the stock market value.Factors such as shareholding,shareholding ratio,shareholding ratio and their changes are taken as factor sets,and the factor sets are divided into two groups.The two sets of factor sets are clustered to discuss which characteristics of the fund are more inclined to which holding model.The second part is to establish a vector autoregressive model of public fund holdings to study the relationship between their holding behavior and the overall stock market volatility.This article uses public fund index data and A-share data from 2010 to 2019 as basic data sources,and defines and models public fund holding behavior through a series of data preprocessing.The empirical results of this paper show that the holdings of public funds have a certain influence on stock market volatility and its influence is significantly stronger than the influence on earnings.This article adopts a combination of theoretical research and empirical research to conduct research on public equity holdings within the framework of behavioral finance,focusing on the behavior characteristics of public equity holdings and its impact on the overall market volatility and profitability On the basis of the empirical results,it puts forward policy recommendations on the development of public funds,that is,strengthening the supervision of large asset groups,optimizing the structure,and improving investment ideas.It also has some enlightenment for individual investors.