Empirical Research On The Stock Market Stability Effects Of National Team's Share-holding

In the middle of 2015,China's stock market has seen a serious crisis,the market price of most stocks drop or jump drastically,which result in abnormal market fluctuations.At this background,in order to maintain the stability of the stock market,the government adopted various measures,such as cutting down interest rates,suspending the IPO,In addition to those conventional measures,the government also participates in the stock trading directly or in indirectly.The so-called national team which is composed of Central Huijin Investment?China Securities Finance Company Limited and other institutions purchased most of the stocks.It's the first time for the “national team” to purchase stocks on a large scale at the second market through the history of China's stock market.Therefore,whether the shareholding behavior of the "national team" can achieve the original intention of stabilizing the market and reducing stock fluctuations is a question worth studying.Firstly,this paper reviews the relevant literature on government intervention in stock market,state or government stock ownership.Then it analyzes the status quo of national team's share-holding,which lays a foundation for further empirical analysis.Next,this paper makes a theoretical analysis of the impact of national team's shareholding on stock volatility,and puts forward the research hypothesis of this paper.Finally,taking the listed companies of A-share market from the third quarter of 2015 to the second quarter of 2018 as samples,taking the shareholding of listed companies by the national team as the entry point,and use the methods of quarterly data section regression,fama-macbeth regression and panel data regression to study the impact of the shareholding by the national team on the stock volatility.The results show that the shareholding of the national team has a negative influence on the stock volatility.This is mainly reflected in two aspects.On the one hand,the shareholding of the national team reduces the whole market's volatility.On the other hand,the shareholding of the national team itself,the shareholding ratio of the national team and the change of shareholding ratio of the national team all have negative effects on the volatility of the individual stock.Among them,the latter two variables' negative effect is much more than the former one.This is mainly because investors pay more attention to the shareholding ratio of the national team and its changes after the normalization of state shareholding.In short,the ownership of the national team has achieved the original intention of stabilizing the market and reducing stock volatility.For individual stocks,the share-holding of the national team also reduce the whole stock market and individual stock's liquidity.The shareholding of the national team does play a stabilizing role in the market,but it also brings a negative impact of reducing market liquidity,which indicates that government intervention is not absolutely good or bad,and government intervention often has two sides.Therefore,the government should carefully when choosing intervention's policy,considering both the good effects of the intervention policy and its possible negative effects.At the same time,the government should incorporate the shareholding behavior of the "national team" into the daily supervision,and formulate the relevant mechanism for the withdrawal of the "national team".