机构投资者的羊群行为与中小市值企业的成长性——基于中小板和创业板市场的实证检验

Institutional Investors' Herd Behavior and Growth of Small and Mid Cap Companies:Empirical Test based on China's SME Board and Growth Enterprise Market

本文实证研究了我国公募基金这类机构投资者的羊群行为与中小板、创业板上市股票成长性之间的关系,发现公募基金的买入羊群行为与中小市值企业的前向成长性和后向成长性都呈现显著的正相关关系,说明机构投资者的买入羊群行为具有挖掘高成长性股票价值、长期维持股票成长性的作用。但是其卖出羊群行为与中小市值企业的前向成长性呈现显著的正相关关系,而与后向成长性呈现较为显著的负相关关系,说明机构投资者卖出羊群行为的发生不利于中小市值企业维持未来的高成长性。我们结合我国中小板、创业板市场的发展现状,分析了造成这一现象的原因,认为目前中小板、创业板市场不完善的市场环境是背后的重要制约因素。

The article finds the positive relationship between Mutual Funds' herding in the buying of Small-and Mid-Cap stocks with both the historical growth and the future growth of the stocks.However,their herding in the selling side shows positive relationship with only the historical growth and negative relationship with the future growth.The unsatisfying condition of China's SME Board and Growth Enterprise Market of China seems to be the main reason behind the phenomena.