我国开放式基金羊群行为的理论与实证研究.docVIP

中文摘要 近几年来，证券投资基金在我国取得了较大的发展。作为一个机构投资者，证券投资基金在证券市场中发挥着重大的作用。然而，证券投资基金在发挥重大作用的同时，也具有非理性。开放式基金的“羊群行为”就是其中一种非理性行为。 本文首先在总结以往“羊群行为”研究的基础上，运用LSV模型，通过对我国42只开放式基金2002年到2005年的样本数据的实证研究，发现在样本期间内，我国开放式基金在整体上存在显著的羊群行为。本文进一步对样本数据根据股票规模、股票收益率、所属行业、基金管理公司进行了分组实证研究，同样发现存在显著的羊群行为，并呈现出不同的特征。 接着，本文对我国开放式基金的羊群行为成因作了进一步的思考，并提出了有关控制对策，为投资者和金融监管部门等经济主体应对羊群行为提供建议，从而进一步推动我国证券投资基金业的发展。 关键词：开放式基金 行为金融学 羊群行为 Abstract Securities investment fund has achieved comparatively development in China these years. As an institutional investor, securities investment fund plays a significant role in security market. However, it also has an irrational side. Herd Behavior in open-ended funds is one kind of its irrational acts. First, base on summarizing the previous studies of Herd Behavior, this thesis do some empirical study of forty-two open-ended funds in China market dated from 2002 to 2005, uses the LSV model to empirically testify if China’s open-ended funds has marked Herd Behavior. Distinct Herd Behavior were found in general, and also the same Herd Behavior were found and present different characteristics in study of different groups specially to that of stocks scale, stocks yields, stocks industries and funds management companies. Then, this thesis try to offer some reflections on possible causes for Herd Behavior in China’s open-ended funds. In order to foster the development of national Securities Investment Funds some suggestions and solutions, as a reference by the investors and financial supervision departments, are also offered to control such a negative phenomenon. Key Words: Open-ended Funds, Behavioral Finance, Herd Behavior 目录 1 导论 3 1.1 选题背景与研究意义 3 1.2 研究目的 6 1.3 研究方法 6 1.4 研究思路及论文的框架 7 2 开放式基金“羊群行为”的相关文献综述 8 2.1 开放式基金的概念以其特点 8 2.2 “羊群行为”的定义与特点 9 2.2.1 “羊群行为”的定义 9 2.2.2 “羊群行为”的特点 10 2.3 几组相关羊群概念的辨析 11 2.3.1 真羊群行为与伪羊群行为 11 2.3.2 理性羊群行为与不完全理性羊群行为 11 2.4“羊群行为”的理论研究 12 2.4.1 不完全理性羊群行为的成因——社会心理学的视角 12 2.4.2 理性羊群行为的成因——行为金融学的视角 13 2.4.3 对“羊群行为”的理论研究模型的简单小结 19 2.5