投资者情绪对基金羊群效应的影响研究  

Study on the Influence of Investor Sentiment on Fund Herding Effect

作　　者：贾丽娜[1] 扈文秀[1] 

机构地区：[1]西安理工大学经济与管理学院,陕西西安710054

出　　处：《运筹与管理》2013年第6期191-199,共9页Operations Research and Management Science

基　　金：国家自然科学基金项目(71373204);陕西(高校)哲学社会科学重点研究基地科学研究计划项目(1352036);陕西省国家重点培育学科基金(107-5x1202)

摘　　要：大量研究表明我国证券投资基金存在羊群效应,然而却很少对影响基金羊群效应的因素展开进一步的实证研究。基于此,本文利用主成分分析法测量投资者情绪,利用前十大流通股东中证券投资基金的家数来测量基金羊群效应的程度,研究投资者情绪指标是否对基金羊群效应产生影响。研究结果表明,投资者情绪是证券投资基金形成羊群效应的重要因素之一,基金经理在观察到上一期投资者悲观情绪(乐观情绪)时会做出负反馈策略。Extensive literatures prove that herding behavior exists in fund managers , but the literatures appear to include little research that conducts an empirical investigation to explain the behavior of institutional investors herding .To address this issue , this study examines whether prior investor sentiment explains the level of fund manager herding .The study employs the principal component analysis as the means of extracting the composite sentiment measure ,and uses the fund number of top ten circulation shareholders to measure manager herding .The results indicate that investor sentiment plays a significant role in explaining subsequent fund herding ,and fund managers make the negative-feedback strategies in the previous quarter investor pessimism （optimism）sentiment.

关 键 词：证券投资基金 羊群效应 投资者情绪 

分 类 号：F830.591[经济管理—金融学]