中国开放式基金羊群行为的实证分析

文章以偏股型基金为例,采用LSV模型对中国开放式基金在2006年1季度至2009年1季度期间的羊群行为进行实证分析,实证结果表明:中国开放式基金在股票投资过程中表现出显著的羊群行为,买入股票时的羊群行为要高于卖出股票时的羊群行为,且开放式基金的羊群行为与参与交易的基金数目、股票规模呈负相关的关系。此外,股票市场下跌时,开放式基金表现出更为显著的卖方羊群行为,而在股票市场上涨时,表现出更为显著的买方羊群行为。文章最后简要分析了羊群行为的形成原因,并提出防范建议。

Empirical Analysis on Herding Behavior of Open end Fund in China

Taking partial stock fund for example,this paper investigates the herding behavior of China's open-end fund by adopting LSV model.Empirical results show that herding behavior exists widely within open-end fund,buy herding behavior is more significant than sell herding behavior,and herding behavior is negatively correlated with stock size and the number of fund participating in trading.Moreover,open-end funds show significant sell herding behavior when stock market falls and significant buy herding behavior ...