我国证券投资基金羊群行为及其对股价影响的实证研究

建立CCK校正模型，分别检验我国证券投资基金羊群行为及股市整体羊群行为是否存在；在CCK校正模型的基础上建立虚拟变量模型，以检验基金羊群行为与股市整体羊群行为二者的显著程度是否相同，从而证明基金羊群行为能否引起股市整体价格的波动。研究结果表明：我国基金羊群行为与股市整体羊群行为均显著存在，且二者的显著程度基本相等，主要是基金在整个股票市场中所占份额较少所致，因此基金羊群行为不会对股市整体价格波动产生大的影响。

An Empirical Research on Herding Behavior of Securities Investment Funds and Its Impact on Stock Prices in China

First, the paper builds up CCK adjusted model to testify individually whether herd behavior of funds and that of the whole stock market exist. Second, it inserts dummy variable Dt in CCK adjusted model to testify whether herd behavior of funds and that of the whole stock market are the same in scale to prove whether herd behavior of funds makes stock (prices) fluctuate in the whole stock market. The research result shows: herd behavior of funds and that of the whole stock (market) exist statistically and they are basically the same in scale, which is because funds have small shares in the whole (stock) market in China. So, herd behavior of funds doesn't influence stock prices in the whole stock market largely.