In order to reveal the impact of securities investment fund behavior on market quality, this paper starts from the perspective of microstructure of the securities market and utilized the transactional accounts of Shanghai Stock Exchange(SSE) to analyze the effect of impact on market quality (including liquidity, volatility and information efficiency) by securities investment funds by applying the cross-sectional model. The empirical result showed that institutionalization of the structure of domestic investors hasn’t improved market quality significantly. The increase (decrease) of positions by funds has significant impact on immediate liquidity and possesses permanent shocking characteristics. Net changes of positions by funds have led to higher hetero-volatility, whereas funds，functioning as institutional investors, do stabilize market to some degree in the adjustment phase of bull market, especially during the market turbulence of “2.27” and “5.30” in 2007; during the rising phases of stock market, the changes of positions by funds will improve market liquidity and enhance informational efficiency of securities market.