Study on impact of Institutional Investor on Stock Market Volatility

摘要

Regarding the composite indexes in Shanghai and Shenzhen stock markets as research object to analyze the impact of institutional investor on stock market volatility. This paper chooses two representational events, include with the appearance of the first closed-end funds in 1998 and the implement of stock investment funds' law in 2004, and uses EGARCH model to structure the volatility model, based on the idea of piecewise modeling. The result shows that institutional investors greatly affect the index volatility in Shanghai and Shenzhen stock markets, and the effect on tock market translated from anti-stabilization into stabilization.