我国证券投资基金羊群行为实证研究

【作者】 徐锋；

【导师】 马涛；

【作者基本信息】 复旦大学 ， 金融学， 2008， 硕士

【摘要】 标准金融学多年来受到了诸多市场异象的挑战,这使人们意识到标准金融学有许多不足。借助于心理学的研究成果,行为金融学近年来发展迅速,受到了广泛的重视。对市场中羊群行为的研究是行为金融学的一个重要领域,它对于认识市场参与者的行为,为监管当局制定政策提供重要帮助。证券市场上投资者的羊群行为会使股价发生波动,影响证券市场的稳定。证券投资基金作为机构投资者,与普通投资者相比,其羊群行为会对证券市场产生较大的影响。尽管一般认为基金相对理性,但研究表明在中国证券市场上,证券投资基金依然表现出明显的羊群行为。本文对基金羊群行为产生的原因进行了分析。为了对证券投资基金的羊群行为进行测度,本文借鉴饶育蕾的基于行业投资组合的羊群行为模型,结合中国证券市场的具体情况,构造了一个基于个股投资组合的基金羊群行为测度模型(聚合强度模型)。本文应用该模型对中国证券市场上证券投资基金的羊群行为进行了实证检验,实证检验的结果表明我国证券投资基金中存在着明显的羊群行为。为了检验聚合强度模型的有效性,我们使用了一个检验模型对聚合强度模型进行检验,检验结果证明了用聚合强度表征基金羊群行为的有效性。更多还原

【Abstract】 Standard finance is challenged by a lot of market anomalies for many years which make people realize that standard finance has many deficiencies. By virtue of the psychological research findings, Behavioral finance develops fast in recent years, which gets broad recognition. The study of herd behavior in the market is an important area of behavioral finance, which supplies great help for regulatory authorities to recognize the behavior of the market participants so as to make policies.The herd behavior of investors will disturb stock prices, which affects the stability of the stock market. As institutional investors, comparing with normal investors, the securities investment funds’ herd behavior will impact stock market more. Although it is believed that normally funds is relatively rational, studies show that on China’s security market, the herd behavior of securities investment funds is distinct. The reasons of funds’ herd behavior are analyzed in this paper.In order to measure the herd behavior of securities investment funds, refering to Rao Yulei’s herd behavior model based on trade investment portfolio, considering the detail condition of China security market, we build a herd behavior model based on stock investment portfolio (cohesive strength model) . Herd behavior empirical research of securities investment funds on China security market is done with this model, the result shows that the herd behavior of securities investment funds is distinct. A checking model is used to check the validity of the cohesive strength model, the empirical research result shows that using cohesive strength to indicate the herd behavior level is valid.更多还原