行业配置的羊群现象——中国开放式基金的实证研究  

An Empirical Study on Institutional Industry Herding in China

作　　者：徐信忠[1] 张璐[1] 张峥[1] 

机构地区：[1]北京大学光华管理学院,北京100871

出　　处：《金融研究》2011年第4期174-186,共13页Journal of Financial Research

基　　金：国家自然科学基金重点项目"行为金融前沿问题研究"(批准号:70932002)的资助

摘　　要：本文利用2002年至2009年中国市场股票型和混合型开放式基金半年度的完整持仓数据,研究了基金行业配置的相关性。研究发现,相邻两期基金行业需求之间的平均相关系数为32%,说明基金的投资行为在行业层面存在羊群现象;该现象不完全是基金个股的羊群现象在行业层面的表现,也不是全部由基于"规模一账面市值比"的风格投资行为所驱动。进一步的研究发现,该现象的相关实证特征与相关信号理论的预期相一致。This paper studies the industry herding behavior of the mutual fund industry using the open-ended fund semi-annual complete position data from 2002 to 2009 in the Chinese stock market. We find that the correlation between the fraction of institutional traders buying an industry in this period and the fraction buying in previous period is 32%, which reveal strong evidence of institutional industry herding. Further evidences show that this phenomenon is not just a kind of version of individual stock herding, and is not completely driven by ＂size-book to market＂ style investing as well. We also find that some evidences about this phenomenon are consistent with the theoretical prediction of correlation signal hypothesis.

关 键 词：开放式基金 行业羊群现象 相关信号 

分 类 号：F224[经济管理—国民经济] F832.5