Why Does Fund Flow into China’s Stock Market-Empirical analysis based on VAR model

摘要

Based on the combination of standard financial theory and behavioral finance theory, it tries to describe the inducing factors and the driving process of fund inflow in the stock market. We establish a fund inflow concept model of the stock market with three hypotheses as market investment value channel, behavior channel and compound channel. Monetary environment, market yield, market volatility and investor sentiment are set to be independent variable in the model, as well as market investment value and overconfidence of the investors are set to be intermediate variables in the concept model. Using 149 groups of Chinese stock market weekly data from July 2014 to June 2017, an empirical research is made to by establishing VAR model. Through VAR model and Granger causality test, the empirical results show that the compound channel hypothesis is established, the behavior channel hypothesis is partially established, and the value channel hypothesis is not established. It is also found that there exists a positive feedback loop in the behavior channel, as well as a self-correction mechanism in the compound channel. The research reveals the influencing factors system and its implementation path of the stock market fund inflow, which also gives evidence of Chinese stock market characteristics as fund-driven instead of value-driven.