摘要
本文在对金融市场上羊群行为理论和经验研究文献进行回顾的基础上,采用LSV等方法,从实证的角度对1999-2002年期间我国封闭式投资基金的羊群行为进行了研究。结果显示,我国的封闭式投资基金整体上存在着显著的羊群行为,其羊群行为度是成熟市场国家的2-3倍,并且,样本基金在小盘股上更容易发生羊群行为。在1999-2001年这三年间,样本基金买入股票时更易产生羊群行为,而在2002年,结论正好相反。
Based on the review of herd behavior theory and literatures, this article empirically investigates the herd behavior of Chinese closed-end funds from 1999 to 2002. Using LSV method, we find strong evidence of herd behavior for Chinese closed-end funds, and the level of herding is 2 to 3 times stronger than the herding found for institutional investors in developed markets. Moreover, Empirical results show that there seems to be a stronger tendency to herd for small-cap fund in trading of smaller stocks from 1999 to 2002, while the conclusion is opposite in 2002.
出处
《金融理论与实践》
北大核心
2009年第4期28-33,共6页
Financial Theory and Practice
基金
国家自然科学基金项目(70671019
70871019)
教育部优秀人才支持计划项目(NCET-06-0294)
辽宁省创新团队项目(2006T042)
辽宁省优秀人才项目(2006R19)
