This article establishes the econometric model, selects stock data of Shanghai composite index from January 2, 1997 to December 31, 2012 as the basis of research. The whole period can be divided into two small periods with the time when open-ended fund enters into stock market as the boundary. Then, this article divides each small period into bear market period and bull market period and analyzes the different influences of open-ended fund on volatility of yield rate of Chinese stock market in different period. Firstly, this article adopts GARCH-M model, which can consider investment risk factors in mean equation. According to test of GARCH-M model, leverage effect can be seen in stock market volatility so that asymmetric EGARCH-M model which can also consider investment risk is introduced to capture the asymmetric influence posed by positive and negative impact.
Chiyachantana, C.N., Jain, P.K., Jiang, C. and Wood, R.A. (2004) International Evidence on Institutional Trading Behavior and Price Impact. Journal of Finance, 59, 869-898. http://dx.doi.org/10.1111/j.1540-6261.2004.00651.x