证券投资基金的反馈交易行为:存在性检验及对股价波动的影响

Open-end Funds Feedback Trading Behavior: Existence Test and the Impact on Stock Price Volatility

利用2002～2011年基金交易数据,首先对中国开放式基金在股票投资时是否存在反馈交易行为进行了检验,然后从不同市场状态、上市公司规模等层面进一步分析了开放式基金反馈交易行为对股票价格波动的影响,结果发现基金股票交易行为以跨季建仓和清仓为主,并且建仓和清仓交易占总交易的比例存在跨期反转迹象;基金建仓时表现出显著的动量交易特征,而减仓和清仓交易则具有显著的反转交易特征;基金的反馈交易行为无论是动量交易还是反转交易均会加剧股价波动,动量交易对股价的影响在牛市中表现更为明显,反转交易则相反;在小规模流通市值样本中,基金动量交易行为引起的股价波动要大于反转交易行为,而在流通市值较大的股票样本中反转交易策略引起的股价波动要大于动量交易。

By using the fund transaction data from 2002 to 2011, firstly, the paper an- swers the question that whether exists the Feedback Trading Behavior in the Chinese open- end funds transactions. Next, the paper analysis the feedback trading behavior impact on stock price volatility from the different market status and different listed finn size. The em- pirical results show that cross -quarter take positions and clearance have a higher proportion in the total funds transactions, and the proportion shows cross-quarter reversal. The take positions shows the significant momentum trading characteristics, and the clearance and un- der-weighted shows significant reversal characteristics, either momentum transaction or re- versal transaction will exacerbate stock price volatility, the momentum trading impact on stock prices volatility more obviously in the bull market , but the reversal transaction is the opposite. In the small-cap stocks samples, the fund momentum trading behavior caused more stock price volatility. On the contrary, in the large-cap stocks samples, the fund re- verse transactions behavior caused more stock price volatility.