【摘要】 为了研究证券投资基金是否存在羊群行为,采用LSV模型和FHW模型对2005年1季度至2014年2季度中国证券投资基金的投资行为进行实证研究,并对羊群行为的影响因素进行了分析。研究结果表明:相比发达国家,我国证券投资基金在策略交易时存在明显的羊群行为;规模越大的股票羊群行为度越低;基金在交易中小盘股股票和市场压力大时羊群行为更为明显。此外,参与交易的基金个数与羊群行为度关系不明显,且基金在交易不同行业的股票时表现出了差异性。更多还原

【Abstract】 Securities investment funds herding behavior and its influencing factors are investigated by using the data of all quarterly transactions made by securities investment funds in China’s stock market based on the LSV and FHW measures. Higher herding level is found in China’s stock market compared to developed capital markets,and it is periodic and especially high in the second quarter each year. Herding behavior is proved to be more intense among small and medium companies and when the market is under stress. Herding level is also different among different industries. Suggestions on improving fund investment behavior are put forward based on the research.更多还原