我国证券投资基金羊群行为的实证研究--硕士论文.docVIP

摘要 投资者的机构化现象是各国证券市场的普遍发展规律，但机构投资者的交易行为究竟对股价产生何种影响一直是个有争议的问题。本文根据国内证券投资基金每季度公布的投资组合数据，分别采用Wermers和超额需求羊群行为指标对证券投资基金的羊群行为进行实证分析，并在此基础上与相应的股票特征数据进行回归分析；最后利用分组比较分析研究证券投资基金的反馈交易策略以及其交易行为对股价的影响。 本文的研究结果如下：（1）我国证券投资基金存在严重的羊群行为；（2）Wermers买方羊群行为显著大于Wermers卖方羊群行为，即证券投资基金在买进时更倾向于发生羊群行为，而与此对应的超额需求羊群行为指标则没有类似的发现；（3）证券投资基金羊群行为与流通市值呈负相关；（4）买方羊群行为与涨跌幅呈正相关，卖方羊群行为与涨跌幅呈负相关；（5）Wermers买方羊群行为与每股公积金呈正相关，而超额需求买方羊群行为与每股公积金呈负相关；（6）证券投资基金在买卖股票时采取正反馈交易策略；（7）证券投资基金交易行为对股价当期的影响明显强于对下一时期的影响，即证券投资基金并没有起到稳定市场的作用。 根据实证结果和原因分析，本文提出相应的政策性建议，希望这些建议能够有效地减少羊群行为、规范基金运作和完善证券市场。 关键词: 证券投资基金 羊群行为 反馈交易策略 Abstract It is a law that there are more and more intuitional investors in the securities market in different countries, but there is a controversy that the behaviors of the intuitional investor’s transaction exert the influence on the stock prices. According to the seasonal investment portfolios of the securities investment fund at home, the paper uses Wermers and excess demand indexes of herd behavior to analyze herd behavior of the securities investment fund empirically. And on the basis of the above mentioned, the paper analyzes the corresponding stock datum in the regression method. At last, the paper uses the group comparative method to analyze the feedback transaction strategy of the securities investment fund and how the transactional behaviors of the securities investment fund affect the stock prices. The conclusions of the paper are as follows: (1) there is serious herd behavior in China’s securities investment fund; (2) the Wermers buyers’ herd behavior is more severe than the Wermers sellers’ herd behavior, that’s when the securities investment fund buys in, herd behavior tends to happen more easily, compared to the excess demand index; (3) herd behavior of the securities investment fund correlates positively with the circulated market value; (4) the buyer’s herd behavior correlates positively with the stock volatility , but the seller’s herd behavior correlates negatively with the stock vol