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| 主题投资策略中羊群行为的实证研究 | |
| 引用本文： | 李雪孔凡航尹奇.主题投资策略中羊群行为的实证研究[J].北京工商大学学报(社会科学版),2008,23(1):87-91. |
| 作者姓名： | 李雪孔凡航尹奇 |
| 作者单位： | 1. 北京大学,光华管理学院,北京,100871 2. 北京工商大学,教务处,北京,100037 3. 中国人寿保险股份有限公司,投资管理部,北京,100020 |
| 摘 要： | 基于shiller兴趣传染模型的羊群成因理论,对主题投资策略中羊群行为产生的可能性进行了分析,并利用中国A股市场2006年以来的四个热点投资主题作为样本,验证了主题投资中存在的羊群效应。初步发现主体投资中的羊群行为在时间上和证券研究机构对投资主题的发布和宣传存在着对应的关系,这种关系更进一步地验证了shiller羊群行为成因理论的结论。 |
| 关 键 词： | 羊群行为 主题投资 兴趣传染 |
| 文章编号： | 1009-6116（2008）01-87-05 |
| 收稿时间： | 2007-09-28 |
| 修稿时间： | 2007年9月28日 |
Positive Analysis of Herd Behavior in Thematic Investment Strategy |
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| Li Xue,Kong Fan-hang & Yin Qi.Positive Analysis of Herd Behavior in Thematic Investment Strategy[J].Journal of Beijing Technology and Business University:Social Science,2008,23(1):87-91. | |
| Authors: | Li Xue Kong Fan-hang & Yin Qi |
| Institution: | 1. Guanghua School of Management, Peking University, Beijing 100871, China; 2. Beijing Technology and Business University, Beijing 100037, China; 3. Department of Investment Management, China Life Insurance Co. Ltd., Beijing 100020, China |
| Abstract: | Based on Shiller's Interest-Contagion Model, an analysis is made on the possibility of herd behavior in thematic investment strategy. Using the four sampling hot themes on China's A-stock market since 2006, it proves the presence of herd behavior in the thematic investment. It preliminarily finds a corresponding relationship in time between the herd behavior in thematic investment and the release and publicity of the investment themes by securities research institutions. Such relationship further validates Shiller's theory of herd behavior formation. |
| Keywords: | herd behavior thematic investment interest contagion |
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