我国基金投资潮涌现象研究——基于模糊断点回归设计的实证研究  

Wave Phenomena in China's Fund Investment: Empirical Research on Fuzzy Regression Discontinuity

作　　者：杜威望 肖曙光 

机构地区：[1]华侨大学经济与金融学院,福建泉州362021 [2]广东财经大学经济学院,广东广州510320

出　　处：《证券市场导报》2018年第11期30-40,共11页Securities Market Herald

摘　　要：利用行为金融、投资潮涌和物理共振的相关理论,本文对基金投资潮涌导致我国个股股价暴涨暴跌的作用机制进行分析。在分析过程中引入基金经理整体的价值认同感和个股股价客观波动变量,理论分析发现当两者的趋同值超过某一值时,将发生共振效应,对个股股价产生巨大的正(负)向冲击。利用模糊断点回归设计进行实证检验,结果表明:在基金投资潮涌中,当基金经理整体的价值认同感和个股股价的客观波动的趋同值超过0.90或-0.89时会发生共振效应,导致个股股价上涨48.4970%或下跌55.7674%。Based on the theories of behavioral finance, investment wave phenomenon and physical resonance, this paper analyzes the mechanism of 'Wave Phenomenon' of fund investment that leads to the sharp rise and fall of the stock price in China. The research introduces the value identity of fund managers and the objective fluctuation variables of stock price. When the convergent value of the two exceeds a certain value, resonance effect will occur, which will have a huge positive (negative) impact on the stock price. Moreover, the Fuzzy Regression Discontinuity Design is used to empirically test the impact effect of resonance effect on stock price when resonance effect occurs. The results show that: when the convergence value of value identity of fund managers and the objective fluctuation of the stock price exceeds 0.90 or -0.89, the resonance effect will occur, resulting in the stock price rising 48.4970% or falling 55.7674%.

关 键 词：基金投资 行为金融 潮涌现象 共振效应 模糊断点回归 

分 类 号：F832[经济管理—金融学]