A Study of Investment Behavior of Funds and Stock Market Volatility——An Empirical Analysis Based on VAR and MGARCH Model
ZUO Zheng-qiang1,WU Bin2,ZHANG He-xiang3
1. School of Economics and Management , Three Gorges University, Chongqing 404100, China; 2. School of Finance, Southwestern University of Finance and Economics, Chengdu 610074, China; 3.School of Accounting,Institute of Aeronautica Industry Management,zhengzhou 450015, China
Abstract Based on VAR Model and MGARCH Model, the paper empirically studies effects of the fund investment activities and stock market volatility and its spillover by using aggregate data. It is found that the Funds' investment activities and the stock market fluctuations affected each other. The funds' investment activities have impact on the volatility of the stock market. From the volatility spillover effect, there is bidirectional volatility spillover effect between the fund investment and stock market volatility, but the spillover effect is small.
ZUO Zheng-Jiang,TUN Bin,ZHANG He-Xiang. A Study of Investment Behavior of Funds and Stock Market Volatility——An Empirical Analysis Based on VAR and MGARCH Model. Economic Survey, 2012, 1(4): 0151.
2012, Vol. 1 
