我国证券投资基金羊群行为及正反馈行为相关性研究

发布时间：2018-10-26 16:43

【摘要】：本文以行为金融学的基本理论为依据,结合现代统计学的基础理论,在借鉴国内外相关的研究方法和研究成果的基础上,对我国证券投资基金的羊群行为和正反馈交易行为进行定性与定量的研究。首先总结介绍了国内外研究羊群行为和正反馈行为的相关文献,然后介绍了羊群行为和正反馈行为的相关理论,其中包括羊群行为和正反馈行为的定义、成因的理论解释、市场效应及计算模型的介绍。对于实证研究部分,首先说明了样本的选取及处理,然后采用Wermers(1999)对LSV(1990)的修正模型度量我国证券投资基金的羊群行为度,特别地,计算了买入羊群行为和卖出羊群行为,并针对计算结果对其进行分析。接着通过S.G Bactrintath and Sunil Wahal(2002)所构建的BW方法来计算我国证券投资基金正反馈交易行为程度,并对结果进行分析。最后结合相关性分析来检验羊群行为和正反馈行为的相关性。实证结果表明,在样本区间内我国证券投资基金始终存在着羊群行为,在对买入羊群行为度和卖出羊群行为度的计算结果中发现,存在着不显著的买入羊群行为和显著的卖出羊群行为,且卖出羊群行为表现强于买入羊群行为。对正反馈交易行为实证研究结果表明,我国证券投资基金在前期市场主要倾向于采取正反馈交易策略,后期市场中主要倾向于采取负反馈交易策略。通过相关性分析发现,羊群行为的发生并不是直接导致我国证券投资基金的正反馈交易行为的形成的主要原因,并且我国证券投资基金市场并没有形成由羊群行为和正反馈行为而产生的正反馈环。
[Abstract]:Based on the basic theory of behavioral finance and the basic theory of modern statistics, this paper draws lessons from relevant research methods and results at home and abroad. The herding behavior and positive feedback trading behavior of securities investment funds in China are studied qualitatively and quantitatively. Firstly, this paper summarizes and introduces the related literatures on herd behavior and positive feedback behavior at home and abroad, and then introduces the relevant theories of herd behavior and positive feedback behavior, including the definition of herd behavior and positive feedback behavior, and the theoretical explanation of the causes. Introduction of market effect and calculation model. In the part of empirical research, the selection and processing of samples are explained, and then the modified model of Wermers (1999) to LSV (1990) is used to measure the herding behavior of China's securities investment funds. The behavior of buying and selling sheep is calculated and analyzed. Then the degree of positive feedback trading behavior of China's securities investment funds is calculated by the BW method constructed by S.G Bactrintath and Sunil Wahal (2002, and the results are analyzed. Finally, the correlation between herd behavior and positive feedback behavior is tested by correlation analysis. The empirical results show that there is always herding behavior in China's securities investment funds in the sample range, and it is found in the calculation results of buying and selling herding behavior. The behavior of buying sheep and selling sheep is not significant, and the behavior of selling sheep is stronger than that of buying sheep. The empirical study on the positive feedback trading behavior shows that China's securities investment funds tend to adopt positive feedback trading strategy in the early market and negative feedback trading strategy in the later stage of the market. Through the correlation analysis, it is found that the occurrence of herd behavior is not the main cause of the positive feedback trading behavior of China's securities investment funds. Moreover, there is no positive feedback loop produced by herding behavior and positive feedback behavior in China's securities investment fund market.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】