我国证券投资基金羊群行为的实证分析（1999-2004）——基于LSV和时间序列的研究

Empirical research on herd behavior of security investment fund in China based on LSV and TSP (1999-2004)

采用LSV模型和时间序列模型对我国147只基金从1999年第四季度到2004年第三季度的投资组合报告进行了研究,结论如下:(1)基金存在着显著的羊群行为,并且一定程度上买方羊群行为要弱于卖方羊群行为.(2)基金在大部分统计时间内,呈现正反馈交易现象,基金的操作策略以追涨杀跌为主.(3)与历次研究认为基金不存在动量交易的结论明显不一致,从整体上动量交易已经开始成为引起羊群行为的原因.(4)时间序列测度显示,跨季度股票需求的正相关是由羊群行为和隐性交易共同造成的.羊群行为和隐性交易给基金带来一定的正的收益.

The paper studied the portfolio reports of 147 funds from the Q4 of 1999 to the Q3 of 2004 with LSV and TSP respectively, and drew a conclusion as follows： （ 1 ） The empirical research showed that these funds behaved typical herd behavior both in the same quarter and cross quarter, and to some extent, the herd behavior in stock - buying was weaker than in stock -selling. （2） It showed that, for funds in most of the statistical period, there were positive feedback trades. （3）There were some findings in the samples that funds had the motivation of momentum trade to some extend which was on the contrary to previous researches. （4） TSP showed that the positive correlation of cross quarter demand was caused by herd behavior and implicit trade.