基金羊群行为与投资组合崩盘风险——基于序贯交易模型的实证研究  

Herd Behavior of Funds and Portfolio Collapse Risk:An Empirical Study Based on Sequential Trading Model

作　　者：池国华[1] 张向丽 CHI Guo-hua;ZHANG Xiang-li

机构地区：[1]东北财经大学会计学院

出　　处：《科学决策》2018年第5期30-59,共30页Scientific Decision Making

基　　金：国家自然科学基金面上项目(项目编号:71372069;71772089)

摘　　要：采用序贯交易模型度量基金羊群行为,选取2007-2016年的公募基金为样本,实证考察了基金羊群行为对投资组合崩盘风险的影响。研究发现:(1)基金羊群行为降低了投资组合的崩盘风险,且在"牛市"和"熊市"的特殊阶段尤为明显;(2)相对于男性,女性基金经理的羊群行为与投资组合崩盘风险的负向关系更强;(3)基金羊群行为通过减少基金的泡沫股票持仓比例降低了投资组合崩盘风险;(4)基金羊群行为通过减弱正反馈交易降低了投资组合崩盘风险。文章揭示了基金羊群行为是一种"以邻为壑"的投资策略,其降低自身崩盘风险是建立在加剧了市场波动、破坏了市场稳定以及提高了金融体系脆弱性的代价之上的。政府应该加快推进市场监管体系改革、完善相关的信息披露制度,合理引导、规范基金经理的各类交易行为,进而缓解由于个体过分追逐自身利益所带来的"负外部性"对市场造成的不利影响。This paper uses sequential trading model to measure the herd behavior of funds, selects the public offering fund from 2007 to 2016 as a sample, and studies the effect of the herd behavior of funds on the risk of portfolio collapse. The study found that：（1） The herd behavior of funds reduces the risk of the portfolio collapse, and is especially obvious in the special stage of ＂bull market＂ and ＂Bear Market＂;（2） Compared with men, the herd behavior of female fund managers was more negatively correlated with the risk portfolio collapse risk;（3） The herd behavior of funds reduces the risk of portfolio collapse by reducing the ratio of the fund＇s bubble stock positions;（4） The herd behavior of funds reduces the risk of portfolio collapse by weakening positive feedback transactions. The article reveals that the herd behavior of funds is a ＂beggar-thy-neighbour＂ investment strategy, which reduces the risk of its own collapse based on the price of exacerbating market volatility, undermining market stability and increasing the fragility of the financial system.

关 键 词：羊群行为 崩盘风险 序贯交易模型 泡沫股票持仓比例 正反馈交易 

分 类 号：F830.9[经济管理—金融学]