Relationship between stock index and increments of stock market trading accounts

摘要

In this paper,we study the relationship between stock index and increments of trading accounts in A,B share market and funds.Regression on daily data shows that there exists bilateral relationship between A,B index and their trading accounts increments.However,Granger causality only exists from stock index to increments of funds accounts.In comparison,when using weekly data,only increments of funds accounts Granger cause the stock index.These uncover the differences between fund managers and small investors while investing on stock market.We also analyse the relationship between index volatility and trading accounts volatility.