An empirical study of the impact of stock market volatility on fund size

Hao Zhang ()
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Hao Zhang: Northwestern Polytechnical University

A chapter in Proceedings of the 2023 2nd International Conference on Public Service, Economic Management and Sustainable Development (PESD 2023), 2023, pp 709-716 from Springer

Abstract: Abstract Compared with mature foreign markets, China’s securities market is more volatile and fund size has grown very rapidly in recent years, so does stock market volatility affect fund size? Based on this, this paper analyzes the impact of China’s stock market volatility on fund size by constructing a VAR model and using empirical analysis, and draws the following conclusions: 1. Stock market volatility is an influencing factor on fund size, and stock market volatility will affect investors’ fund returns and investor sentiment, thus affecting their purchase and redemption behavior and causing changes in fund size; 2. The impact of stock market volatility on fund size There is a lagged effect, with an impact time of about six months. Stock market fluctuations have a positive impact on fund size changes, and the impact tends to last for a certain period of time. Based on the above findings this paper proposes the following policy recommendations: first, the government should establish a sound social security system and introduce preferential policies such as reasonable pension and education savings plans to guide family funds for fund investment and improve the current situation of institutionalized fund holdings; second, the stock market trading system should be further improved and fund investment behavior regulated, supervision and punishment for violations should be strengthened to prevent abnormal stock market price movements. This will help optimize China’s fund management and promote the development of China’s securities market.

Keywords: stock market volatility; fund size; VAR model (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-344-3_77

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DOI: 10.2991/978-94-6463-344-3_77

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