我国证券投资基金羊群行为的实证研究  

Empirical Study of Herding Effect of Chinese Mutual Fund

作　　者：祁斌 袁克 胡倩[3] 周春生[4] 

机构地区：[1]中国证监会,北京100032 [2]招商银行上海分行,上海200120 [3]海通证券股份有限公司,上海200001 [4]北京大学光华管理学院,北京100871

出　　处：《证券市场导报》2006年第12期49-57,共9页Securities Market Herald

摘　　要：国外的研究显示,发达国家市场机构投资者的羊群行为并不十分明显。作为新兴市场主体的中国机构投资者在这方面的行为特征如何呢?本文使用经典的LSV方法以及Wermers的扩展方法,对我国金融市场上以证券投资基金为代表的机构投资者交易行为进行了实证研究。结果发现,我国证券投资基金之间具有较明显的羊群行为,并具有以下特点:同时使用正负反馈操作策略;在流通盘较大和较小的股票上的羊群行为显著;成长型基金的羊群行为显著等。针对这些发现,笔者探究了羊群行为产生的原因,并提出了一些避免过度羊群行为的措施。Overseas research findings show that herding effect appears not so obvious among instititions of industrialized countries. How do the market mainstream force of institutions behave in emerging countries like China？ The author conducted empirical study on trading behaviour of institutional investors represented by mutual fund,applying the classical LSV and Wermers models. Studies reveal that Chinese securities investment fund managers do herd with the following features： They herd on positive and negative corporate news. The herding effect is more obvious on large and small cap stocks and with growing fund managers. Based on the findings, the author analyzes the reasons behind and makes proposals on how to avoid excessive herding.

关 键 词：证券投资基金 交易行为 羊群行为 市场监管 

分 类 号：F830.39[经济管理—金融学]