摘要
运用LSV模型分别对中国证券投资基金在2006年1季度至2012年2季度期间的羊群行为进行实证分析。研究结果表明:中国各种类型的证券投资基金均存在显著的羊群行为,且开放式基金羊群行为度大于封闭式基金的羊群行为度;成长型基金羊群行为度大于价值型基金的羊群行为度,平衡型基金羊群行为度则介于两者之间;开放式基金在沪深主板、中小板、创业板中的羊群行为存在显著的"板块效应";封闭式基金在创业板中不涉及羊群行为问题,封闭式基金的羊群行为在中小板和主板之间存在显著的"板块效应",但封闭式基金在中小板的交易中买入羊群行为度远远大于卖出羊群行为度。最后简要分析了中国证券投资基金羊群行为形成的原因并提出了治理羊群行为的政策建议。
The paper makes an empirical analysis on the herd behavior of China＇s securities investment funds from the first quarter of 2006 to the second quarter of 2012 by adopting LSV mod- el. Research results show that herd behavior exists obviously in different types of China＇s securities investment funds, and the behavior is more significant in open - ended funds than close - ended funds ; the degree of herd behavior in growth funds is higher than value funds, with balanced funds between the two; the herd behavior of open - ended funds has significant ＂ plate effect＂ in the main board, middle and small board, and growth enterprise market （GEM） of Shanghai and Shenzhen Stock Exchanges; herd behavior of close - ended funds cannot be found in GEM, but significant ＂plate effect＂ of the behavior exists between middle and small board and main board. The buying herd behavior of close - ended funds is far excess the selling herd behavior. In the end, the formation of herd behavior in China＇s securities investment funds is briefly analyzed and political suggestions on monitoring the behavior are put forward.
出处
《云南财经大学学报》
CSSCI
北大核心
2013年第1期101-108,共8页
Journal of Yunnan University of Finance and Economics
