国内股票基金行为模式--来自封闭成长型股票基金的证据

Behavioral patterns of Chinese stock funds:Evidence from closed growth stock funds

为研究国内基金经理的行为模式和市场有效性,选取2004年至2010年国内11支封闭式成长型股票基金作为样本进行实证研究。该文采用相关系数检验与Copula分解系数对样本进行分析。研究结果表明:国内股票型基金不遵循基本分析而遵循技术分析进行投资,在市场上升时买入、在市场下跌时卖出,具有显著羊群效应;国内基金经理不显著具备预测股票趋势的能力;并且技术分析的依赖程度和基础分析的效果与基金业绩表现都没有显著相关性,说明国内股票市场弱有效和半强有效。

Fund manager behavioral patterns and the efficiency of the Chinese stock market were investigated in an empirical study of 11 domestic close-end stock funds from 2004 to 2010 using correlation coefficients and Copula models.The study shows that fund managers use technical analyses and have herd effects instead of applying fundamental analyses.Fund managers also do not possess the ability to successfully predict stock trends.The independency of technical and fundamental analyses and the overall performance of these funds suggests the efficiency of the Chinese stock market.