中国证券投资基金“羊群行为”及其对股价波动性的影响研究

【作者】 阳浙江；

【导师】 杨义群；

【作者基本信息】 浙江大学 ， 企业管理， 2003， 硕士

【摘要】 20世纪90年代以来，证券投资基金在我国取得了较大的发展。作为一个机构投资者，证券投资基金在证券市场中发挥着重大的作用。然而，证券投资基金在发挥重大作用的同时，也具有非理性行为。“羊群行为”就是其中一种非理性行为。证券投资基金“羊群行为”是涉及多个投资主体的相关性行为，对市场的稳定性和效率会产生很大的影响，并且与金融危机关系密切。因此这一问题值得学术界、投资界和金融监管部门调查和研究。 基于以上的认识和理解，本论文在总结以往“羊群行为”研究的基础上，运用LSV模型，实证研究我国证券投资基金是否存在显著的“羊群行为”。并且在此基础上，实证研究证券投资基金“羊群行为”对股价波动性的影响。同时，通过大量的文献阅读，对实证结果进行了深入的剖析，并提出了一些具有较大价值的对策和建议。 全文共由六章组成。 第一章：提出了本文的研究背景、研究意义、研究目的、研究方法以及研究进展。 第二章：论述了证券投资基金的概念、特点以及证券投资基金“羊群行为”的产生原因。 第三章：论述了“羊群行为”的研究方法、以往的研究成果、并对以往研究成果进行了总结。 第四章：实证检验我国证券投资基金是否存在显著的“羊群行为”，然后在此基础上，通过对上市公司的分组研究来剖析证券投资基金的“羊群行为”。 第五章：实证研究我国证券投资基金“羊群行为”对股价波动性的影响。 第六章：对实证研究结果进行分析和讨论，并指出以后研究的方向。更多还原

【Abstract】 Securities investment fund has achieved comparatively great development in China since the 1990’ s. As an institutional investor, securities investment fund plays a significant role in security market. However, it also has an irrational side. Herd Behavior is one kind of its irrational acts. Herd Behavior in securities investment fund involving many investment subjects has a very big influence on market stability and efficiency. In addition, it’ s closely connected with financial crisis. So the issue warrants investigating and studying by the academic circles, the investment communily and the financial supervisory departments.In view of the above-mentioned knowledge and comprehension, this thesis is based on summarizing the previous studies of Herd Behavior. Then it uses the LSV model to empirically testify if China’ s securities investment fund has marked Herd Behavior. Afterwards, on the above foundation, the thesis empirically studies the influence of Herding Behavior on the volatility of stock price. Meanwhile, through a vast amount of document-reading, it gives a penetrating analysis of the results and raises some countermeasures and suggestions with relatively great value.The whole text consists of six chapters.Chapter I: To put forward the background, significance, purpose, method and progress of studies about this text.Chapter II: To expound the concept and traits of securities investment fund, along with the reasons bringing about Herd Behavior in securities investment fund.Chapter III: To discuss the methods of studying Herd Behavior and the results of previous studies about Herd Behavior.Chapter IV: To empirically testify if securities investment fund in China has marked Herd Behavior, then on this basis to study Herd Behaviorin securities investment fund by cluster research of the listed companies.Chapter V: To empirically study the influence of Herd Behavior in China’ s securities investment fund upon the volatility of stock price.Chapter VI: To analyze and discuss the study results, then to point out the study direction later.更多还原