基金经理羊群效应与股票流动性——基于主动型基金的研究  

Herding and Stock Liquidity——Evidence from Active Fund Management

作　　者：马子喻 王楠佳 张顺明[1] Ma Ziyu;Wang Nanjia;Zhang Shunming

机构地区：[1]中国人民大学财政金融学院

出　　处：《投资研究》2022年第5期69-90,共22页Review of Investment Studies

基　　金：国家自然科学基金委员会(71773123;72173125);国家社会科学基金重点项目(21AZD028)。

摘　　要：不同于现有文献多集中于讨论羊群行为对股票价格和波动性的影响,本文构建一个包含基金经理和散户投资者的三期模型,探究基金经理羊群效应对股票流动性的影响机制。我们通过均衡求解发现,基金经理羊群行为降低了风险资产投资,股票流动性下降。本文还使用2005-2020年我国股票市场中主动型基金投资股票的数据实证检验,发现基金经理存在羊群行为,该行为导致股票流动性下降。Unlike the existing literature which mostly focuses on the impact of herding behaviour on stock prices and volatility,we construct a three-period model that includes fund managers and retail investors to explore the mechanism of the herding effect of fund managers on stock liquidity.Based on the results of the equilibrium solution,we find that the herding behaviour of fund managers reduces the amount of investment in risky assets,leading to a decline in stock liquidity.We also use data on active fund investments in stocks in the Chinese stock market from 2005 to 2020 to empirically test the existence of herding behaviour of fund managers,which leads to a decline in stock liquidity.

关 键 词：羊群效应 流动性 清算比率 主动型基金 

分 类 号：F832.51[经济管理—金融学]