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

Volume

1

fYear

2009

Firstpage

279

Lastpage

282

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;

fLanguage

English

Publisher

ieee

Conference_Titel

Knowledge Acquisition and Modeling, 2009. KAM '09. Second International Symposium on

Print_ISBN

978-0-7695-3888-4

Type

conf

DOI

10.1109/KAM.2009.299

Filename

5362186