摘要
对1999年～2003 年期间封闭式投资基金交易行为的实证研究显示,我国封闭式投资基金存在着显著的羊群行为和正反馈交易行为,从整体上看基金的交易行为不但破坏了股市的当期稳定,而且也不利于股市的长期稳定.进一步分析却发现基金的卖出羊群行为加速了股价对新信息的吸收过程,有利于股市的长期稳定.
This article investigates the trading of the investment fund industry from 1999 to 2003. As a resuit, we find strong evidence of herding behavior and posltlve-feedback trading for Chinese security investment funds. Finally, we find that herding and positive-feedback trading induces violent fluctuation of stock prices. A conclusion is drawn that the investment funds in Chinese stock market do not have the function to stabilize the stock market. But further analysis shows that sell-herding behavior can stabilize the stock market in the long Fun.
出处
《管理科学》
CSSCI
2005年第4期77-85,共9页
Journal of Management Science
