基金持股比例对我国股市波动的影响-世界经济专业论文.docxVIP

华中科技大学硕士学位论文 华 中 科 技 大 学 硕 士 学 位 论 文 II II Abstract The pace of development and the scale of investment of funds have been highly concerned Since Chinese government introduced them into the securities market in 1998. They were even developing and expansing very fast during the stock market was skyrocketing from 2005 to 2007. The government hoped to drive the stock market to develop healthy and stably by the professional management and rational investment of funds, but the fluctuations of the stock market became greater after the introduction of funds. It even experienced a rollercoaster spike from 2005 to 2008 which had caused people suspected that whether the funds can stabilize the stock market. What role the funds played in the stock market? Whether they can stabilize the fluctuations in stock market or not? This paper classified stock market volatility into daily fluctuations, long-term fluctuations and short-term fluctuations according the broader market trend. Then the paper summarized the results of previous research and noting that the existing literatures on the latter two kinds of fluctuations were few. To fill this gap, this paper will analysis how the funds impact the latter two kinds of fluctuations of the stock market. The paper defined what was volatility based on the existing literatures and then summarized the existing methods to measure the volatility. We proposed a new measure of volatility and described the mechanism of the impact of the funds on the stock market volatility. Furthermore, The paper described the relationship between the variables by some graphs and then researched their relationship through regression analysis by Eviews6.0. After in-depth analysis, the paper concluded that funds exacerbated the volatility of the stock market in the 2005-2008 period, while had no influence on the stock market fluctuations in the other three period. Key words： The proportion of fund Stock price volatility Herd behavior Feedback trading behavior cyc