中国证券投资基金羊群行为和正反馈行为研究

首先对羊群行为和正反馈交易行为基本理论进行了综述,对中国证券投资基金的羊群行为和正反馈行为进行了实证分析.统计检验结果表明:从整体上讲,中国证券投资基金存在羊群行为,羊群行为程度高于美国,且卖方羊群行为明显大于买方羊群行为;在整个研究期间,前期市场中存在正反馈交易行为,后期市场中存在负反馈交易行为.通过分析得出,当股市呈上涨趋势时,证券投资基金存在正反馈交易行为;当股市低迷时,证券投资基金呈负反馈交易行为.最后,根据实证结果,分析了证券投资基金交易行为存在的原因,并给出了消除羊群行为和正反馈交易行为的政策建议.

Research on Herding Behavior and Positive Feedback Behavior of China's Securities Investment Fund

Reviews theoretically the herding behavior and positive feedback transaction behavior, then analyzes empirically them with respect to China's securities funds.The statistical test results show that there is a herding behavior of China's securities investment funds,and it goes to a greater extent than in the USA as a whole,and the behavior plays a more important role in selling than in buying.In the 3-year period from 2003 to 2005,the positive feedback transaction behavior is found in the prior period,while the negative one is found in later period.The facts reveal that the investment funds show positive feedback transaction behavior on bull market,but show negative one on bearish market.According to the empirical investigation result,the reasons why the securities investment funds come to pass in China's stock market is analyzed,and some policy suggestions are given to get rid of herding behavior and positive feedback transaction behavior.