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中国证券投资基金羊群行为及其影响因素研究
引用本文:陶瑜,刘寅,彭龙.中国证券投资基金羊群行为及其影响因素研究[J].北京邮电大学学报(北京邮电大学学报),2015,17(5):60-67.
作者姓名:陶瑜  刘寅  彭龙
作者单位:北京邮电大学经济管理学院,北京,100876;北京邮电大学经济管理学院,北京,100876;北京邮电大学经济管理学院,北京,100876
摘    要:为了研究证券投资基金是否存在羊群行为, 采用LSV模型和FHW模型对2005年1季度至2014年2季度中国证券投资基金的投资行为进行实证研究, 并对羊群行为的影响因素进行了分析. 研究结果表明: 相比发达国家, 我国证券投资基金在策略交易时存在明显的羊群行为; 规模越大的股票羊群行为度越低; 基金在交易中小盘股股票和市场压力大时羊群行为更为明显. 此外, 参与交易的基金个数与羊群行为度关系不明显, 且基金在交易不同行业的股票时表现出了差异性.

关 键 词:证券投资基金  羊群行为  LSV模型  FHW模型

Herding Behavior and Its Influencing Factors of China' s Securities Investment Funds
Abstract:Securities investment funds herding behavior and its influencing factors are investigated by using the data of all quarterly transactions made by securities investment funds in China' s stock market based on the LSV and FHW measures.Higher herding level is found in China' s stock market compared to developed capital mar-kets, and it is periodic and especially high in the second quarter each year.Herding behavior is proved to be more intense among small and medium companies and when the market is under stress.Herding level is also dif-ferent among different industries.Suggestions on improving fund investment behavior are put forward based on the research.
Keywords:securities investment funds  herding behavior  LSV  FHW
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