Recessions are associated with sharp increases in turbulence that reshuffle firms’productivity rankings. To study the business cycle implications of turbulence shocks, we use Compustat data to construct a measure of turbulence based on the (inverse of) Spearman correlations of firms' productivity rankings between adjacent years. We document evidence that turbulence rises in recessions, reallocating labor and capital from high- to low-productivity firms and reducing aggregate TFP and the stock market value of firms. A real business cycle model with heterogeneous ffrms and ffnancial frictions can generate the observed macroeconomic and reallocation effects of turbulence. In the model, increased turbulence makes high-productivity ffrms less likely to remain productive, reducing their expected equity values and tightening their borrowing constraints relative to low-productivity firms. This leads to a reallocation that reduces aggregate TFP. Unlike uncertainty, turbulence changes both the conditional mean and the conditional variance of the firm productivity distribution, enabling a turbulence shock to generate a recession with synchronized declines in aggregate activities.

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.