Empirical Research On The Impact Of Institutional Investors' Shareholding On Stock Market Volatility

Compared with the stock markets of developed countries such as the United States,as a emerging market,China has a significantly higher volatility in the stock market.Facing this situation,in order to develop the stock market steadily and orderly,managers proposed the concept of "unconventional developing institutional investors"in 2001.After more than a decade of development,the number and types of institutional investors participating in the securities market have been expanding.Among them,the fund has been the leader,followed by insurance agencies,social security funds,QFII and so on.However,while the scale of institutional investors is constantly expanding,the stock market volatility is still happening at times and very powerful.Stock market experienced a roller coaster-type surge during 2015,which was an unforgettable year for every investor.Whether the development ideas of"unconventional development institutional investors" really stabilize the stock market?Which is necessary to study the results both on theoretically and empirically.In theory,first of all,this paper defines the concept of institutional investors and the methods to measure the stock volatility on the basis of combing domestic and foreign literature.And then,we analyzes the influence of institutional investors on the fluctuation of China's stock market from the two aspects of effective market theory and behavioral finance,which paves the way for the following empirical part.In empirical aspects,this paper examines the relationship between the quick expansion of the institutional investors and the market volatility both from the macroeconomic level with TARCH model and from the microeconomic level with panel data model.From a macro perspective,taking into account the asymmetry of the stock market volatility,we use TARCH(1,1)model and select the fund as the representative of institutional investors to analyse the impact of institutional investor behavior on the fluctuation of China 's stock market from an Macro-level.In the microscopic study,we use nonparametric method to divide the bull bear market in China's stock market,and use panel data model to study the relationship between the institutional investors and equity returns.