Behavior Characteristics of Indexing Investment Entities

Abstract

Based on the characteristics of investor behavior, this article analyzes the impact of institutional investors and investor sentiment on the liquidity, profitability and stability of the capital market, and analyzes the impact of investor overreaction on the market. Through multiple regression analysis, it is verified that the holding ratio of institutional investors has a significantly negative relationship with the turnover rate of funds, and it has a positive relationship with the annual rate of return of the fund and the annual volatility of the fund. Investor sentiment shows a positive correlation with the turnover rate of funds, the yield of the fund and the volatility of the fund. Through quantile regression, it is found that when the volatility of an index is at a high level, it is more susceptible to the negative impact of the previous trading volume.

Keywords: behaviour characteristics, indexing investment, investor sentiment, capital market

DOI: 10.7176/EJBM/13-22-01

Publication date: November 30^th 2021