中国证券投资基金的羊群行为分析

Analysis of Chinese Investment Funds' Herding Behavior

根据投资基金中报和年报中的投资明细数据,采用文献[1]和文献[2]的检验方法,从不同角度实证检验了中国投资基金的羊群效应,发现中国投资基金的羊群效应高于美国互助基金的羊群效应,中国投资基金并未表现出对大盘股、小盘股、新股以及信息技术行业样本股票的特别偏好。投资基金的交易以买为主。投资基金的投资重心有从小盘股向大盘股转变的趋势,这将有利于整个证券市场的稳定。投资基金的交易行为与股市走势密切相关。

This paper uses the investment specifics in every fund's semiannual and annual announcement,adopts the testing methods of Lakonishok et al(1992) and Wermers(1999) and makes empirical tests on Chinese investment funds' herding behavior from different aspects.It concludes that the herding effect of Chinese security funds is more significant than that of American mutual funds.Chinese security funds show no bias to the large-capitalization,small-capitalization,newly-listed and IT stocks.Chinese security funds buy more frequently than sell the stocks.The investment focus of Chinese security funds has changed from the small-capitalization to the large-capitalization stocks,which is beneficial to the stability of the stock market.Furthermore,whether Chinese security funds buy or sell the stocks in highly correlated with the market trend.