中国证券投资基金羊群行为实证研究

Empirical Study on Herd Behavior of China's Securities and lnvestment Funds

基于2 0 0 3年3月-2 0 0 5年3月之间中国开放式基金的投资组合的数据进行分析,运用wermers(1 9 9 9)对于LSV模型的羊群行为测度的修正方法,对基金持有的股票进行各种特征的分类的羊群行为测度,得出中国存在比较严重的羊群行为。从对基金持有股票的特征分析得出羊群行为在高收益的小股票和上期回报率高、下期回报率高的股票上程度也比较明显。从基金成立日、投资类型分析得出新基金、股票型的基金的羊群行为程度高。而利用下期回报率对羊群行为的理性和非理性进行分析得出中国的开放式基金可能为假羊群行为的结论。

Based on the data of the investment portfolios from March 2003 to March 2005, by using the Wermers （1999） modified LSV model, this paper measures the herd behavior in the stocks hold by the funds according to various sorted characteristics, and concludes that there is rather severe herd behavior. From analyses of the characteristics of the stocks hold by funds, it shows that herd behavior is obvious in the stocks with high earning, small cap, high previous return and high next return. From analyses of the date of foundation and types of investment, it shows that herd behavior in new and equity funds is in high degree. And from analyses of the rationality and irrationality of herd behavior by the next period return, the conclusion is that herd behavior in China＇s open funds may be not true.