{"title":"The Stabilizing Role of Securities Investment Funds in Stock Market: A Structure VAR Approach","authors":"Yaran Liu, Shouwei Qi, Hongtao Xie","doi":"10.1109/KAM.2009.299","DOIUrl":null,"url":null,"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.","PeriodicalId":192986,"journal":{"name":"2009 Second International Symposium on Knowledge Acquisition and Modeling","volume":"11 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2009-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2009 Second International Symposium on Knowledge Acquisition and Modeling","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/KAM.2009.299","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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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.
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