中国证券投资基金羊群行为实证研究及对策分析

【作者】 孙杰；

【导师】 朱正萱；

【作者基本信息】 南京理工大学 ， 工商管理， 2004， 硕士

【摘要】 随着2003年底中国证券投资基金法的正式出台以及开放式基金的迅速发展，对于包括羊群行为在内的我国证券投资基金投资行为的研究显得尤为重要。 本文首先通过对较早成立的20家封闭式基金和15家开放式基金的所有期间数据样本的实证研究，发现在样本期内，我国证券投资基金业在整体上存在显著的羊群行为，并且封闭式基金较开放式基金更为显著；本文进一步对样本数据根据股票规模、股票收益率、所属行业、基金管理公司进行了分组实证研究，同样发现存在显著的羊群行为，并呈现出不同的特征。 其次，通过对造成中国证券投资基金羊群行为成因的深入分析，本文在宏观和微观两个层面提出了抑制或缓解羊群行为的对策措施。重点在微观层面上首次系统了提出了一种基于经济学和管理学耦合思路的基金经理的报酬激励体系制度安排。更多还原

【Abstract】 As the promulgate of Chinese Securities Funds Law at the end of 2003 and the rapidly development of Chinese open-end funds, it is particularly important to focus on the investment behaviors including herding behavior of Chinese securities funds.In this paper, I firstly do some empirical study of twenty closed-end and fifteen open-end funds in China market dated from 1999 to 2003, and found distinct herding effect in general while closed-end funds presents more distinct than that of open-end funds. And also, the same herding effects were found and present different characteristics in study of different groups specially to that of stocks scale, stocks yields, stocks industries and funds management companies.On the other hand, this paper deeply analyses the causes of the herding behavior in China funds markets and put forward suggestions and solutions restraining herding behavior from both macro and micro aspects. This paper initially put forward a system arrangement of incentive compensation payment of securities funds managers.更多还原