我国QFII的羊群行为研究

发布时间：2018-01-14 19:37

本文关键词：我国QFII的羊群行为研究　出处：《暨南大学》2012年硕士论文　论文类型：学位论文

【摘要】：QFII（合格境外机构投资者）于2003年正式投资中国股市，，随着我国对其投资额度的不断放宽，QFII在我国证券市场的影响也越来越大。为了更为全面、深入的了解QFII的交易行为，本文以QFII在交易过程中是否存在羊群行为为切入点，对QFII的羊群行为进行理论研究和实证研究，并分析对不同类型股票交易中的羊群行为。本文选取2004年4季度到2011年3季度的QFII交易数据进行实证分析，得出以下结论： 1、QFII存在明显的羊群行为。 2、在不同时期，QFII的羊群行为表现有所不同，2004年4季度到2006年1季度，QFII出现单边买入的行为，而在2008年，QFII表现出单边卖出的羊群行为。 3、QFII羊群行为度与流通股规模呈负相关关系；股票历史收益率与买入羊群行为呈负相关关系，与卖出羊群行为呈正相关关系；市场指数与QFII买入羊群行为负相关，与卖出羊群行为正相关；股票涨跌幅比例与买入羊群行为负相关，与卖出羊群行为正相关。通过本文的分析，我们发现QFII在我国的交易过程中存在着显著的羊群行为，价值投资的理念也并未体现。虽然QFII对市场的准确把握和对个股低买高卖的投资策略值得我国投资者借鉴，但QFII在我国市场高度的羊群行为势必会给我国证券市场带来危害。根据实证分析结果，本文最后给出了针对QFII羊群行为的政策建议，以减少QFII羊群行为的发生。
[Abstract]:QFII (qualified foreign institutional investors) on 2003 officially China investment stock market, with the continuous relaxation of China's investment amount on the effects of QFII, in China's stock market is also growing. In order to more comprehensive and in-depth understanding of the transaction behavior of QFII, based on QFII in the transaction process for the existence of herd behavior the starting point, theoretical research and empirical research on the herding behavior of QFII, and the analysis of different types of herd behavior in stock market. This paper selects the QFII transaction data in 2004 4 quarter to the 3 quarter of 2011 for empirical analysis, draw the following conclusions:
1, there is a distinct herding behavior in QFII.
2, in different periods, the herding behavior of QFII is different. In the 4 quarter of 2004 to the 1 quarter of 2006, QFII appeared unilateral buying behavior, while in 2008, QFII showed a unilateral selling herd behavior.
3, QFII degree of herd behavior is negatively correlated with the size of outstanding shares; there was a negative correlation between the stock historical rate of return and buying herd behavior, and sell herding behavior are positively related; the market index and QFII buy herdbehavior negative correlation, positive correlation with selling herd behavior; stock price ratio and buying herd behavior of negative correlation. Is related to selling herd behavior.
Through this analysis, we found that QFII has significant herding behavior in the process of trade of our country, the concept of investment value is not reflected. Although QFII accurate grasp of the market and stocks to buy low and sell high investment strategies for investors in China for reference, but the herding behavior of QFII height in the market of our country it will bring harm to the securities market of our country. According to the results of empirical analysis, this paper finally gives policy suggestions for the herding behavior of QFII, QFII in order to reduce the occurrence of the herd behavior.

【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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