Title :
The Stabilizing Role of Securities Investment Funds in Stock Market: A Structure VAR Approach
Author :
Liu, Yaran ; Qi, Shouwei ; Xie, Hongtao
Author_Institution :
Sch. of Econ., Huazhong Univ. of Sci. & Technol., Wuhan, China
Abstract :
On the basis of SVAR model, we analyzed the interaction between the investment behavior of securities investment funds and the volatility rate of return in an emerging stock market by the data in China for the period 2006:11-2008:12. The results showed that, the stock market and the securities investment funds exhibited a significant correlation; And the stock market was largely impulsed by the investment behavior shocks, While the response of securities investment funds to the stock market shocks was not significant and lasted shorter time. We proposed that, securities investment funds did not play a role of stabilizing the market fluctuations in an emerging market, on the contrary, it caused the market fluctuating even more violently.
Keywords :
autoregressive processes; behavioural sciences; investment; securities trading; China; investment behavior shocks; investment funds; investment security funds; market fluctuations; stability role; stock market; structure VAR approach; vector autoregression model; volatility return rate; Data security; Electric shock; Fluctuations; Information security; Investments; Knowledge acquisition; Macroeconomics; Reactive power; Stock markets; Symmetric matrices; Investment behavior; SVAR; Securities investment funds; Stock market;
Conference_Titel :
Knowledge Acquisition and Modeling, 2009. KAM '09. Second International Symposium on
Print_ISBN :
978-0-7695-3888-4
DOI :
10.1109/KAM.2009.299
