关于QFII投资羊群效应的实证分析.pdfVIP

Finance 金融, 2015, 5(4), 64-72 Published Online October 2015 in Hans. /journal/fin /10.12677/fin.2015.54009 Empirical Analysis of Herd Behavior for QFII Yang Zhang, Hui Jin School of Economics, Hangzhou Dianzi University, Hangzhou Zhejiang Email: jinhui@ th th th Received: Jun. 28 , 2015; accepted: Oct. 8 , 2015; published: Oct. 15 , 2015 Copyright © 2015 by authors and Hans Publishers Inc. This work is licensed under the Creative Commons Attribution International License (CC BY). /licenses/by/4.0/ Abstract Using the holding position details of QFII in the top ten tradable A-share market listed companies as samples from the first quarter of 2004 to the third quarter of 2014, the degrees of herd beha- vior of QFII are measured by using LSV model and PCM model combined with time dimension to determine whether there exit herd effects in Chinese securities market. In the meantime, to com- pare QFII herd behavior of different periods dynamically, the QFII herd behavior characteristics are analyzed during the period of the stock market prices soaring and falling. The result shows that QFII has significant herd behaviors in investment process in Chinese securities market, and its trading behavior does not follow the concept of value investing. When the stock market prices soar and fall, the herd behaviors will be more significant. With the stock market booming, QFII re- flects a buyer herd behavior; while with the stock market crashing, QFII reflects a seller herd be- havior. Keywords QFII, Herd Behavior, LSV Model, PCM Model, Time Factor 关于QFII投资羊群效应的实证分析 张 洋，金 辉 杭州电子科技大学经济学院，浙江 杭州 Email: jinhui@ 收稿日期：2015年6月28 日；录用日期：2015年10月8 日；发布日期：2015年10月15 日