QFII也存在羊群行为吗?  

Does There also Exist Herd Behaviour in QFII?

作　　者：刘成彦[1] 胡枫[2] 王皓[3] 

机构地区：[1]深圳证券交易所综合研究所,广东深圳518028 [2]北京科技大学经管学院,北京100083 [3]对外经济贸易大学国际商学院,北京100029

出　　处：《金融研究》2007年第10A期111-122,共12页Journal of Financial Research

基　　金：国家自然科学基金项目(70471013)支持

摘　　要：自从我国实施QFII(合格境外机构投资者)制度以来,随着QFII投资额度的不断增加,其在我国证券市场的影响力也越来越强。本文对QFII在我国A股市场中的交易行为进行了实证研究,结果发现,QFII之间具有较明显的羊群行为,特别是进入股权分置改革之后,其羊群行为更加显著。此外,本文还对QFII的羊群行为与所交易股票流通股股本大小和历史表现等因素的关系进行了检验。针对本文的发现,作者探讨了QFII羊群行为的产生原因,并提出相关建议。Since QFII （Qualified Foreign Institutional Investor） system has been set up in China; its impact on China＇s securities market has been increased along with the QFII investment growth. This paper conducts an empirical analysis of the trading behavior of QFII in China＇s A-share market. The results show that there is obvious herd behavior among QFII investors in China and the herd behavior has become more obvious after the split share structure reform of listed companies. The paper also tests the relationship between herd behavior of QFII and other factors such as the number of tradable shares and the stock＇s historical performance. Furthermore,the authors explore the reasons for the herd behavior of QFII and provide some suggestions.

关 键 词：QFII(合格境外机构投资者) 羊群行为 股权分置改革 

分 类 号：F832.51[经济管理—金融学]