我国证券投资基金羊群效应对股市波动的影响研究

发布时间：2018-03-18 03:12

本文选题：证券投资基金　切入点：羊群行为　出处：《西安电子科技大学》2012年硕士论文　论文类型：学位论文

【摘要】：在我国,股市自诞生以来就一直有波动剧烈的现象,管理层为了抑制市场异常波动,提出了鼓励机构投资者大力发展的战略。在这种政策引导下,我国的证券投资基金已经发展成了股市中的重要的力量,所以我国证券投资基金的羊群行为近年来一直受到了很高的关注。目前已经有很多学者通过LSV模型对我国证券投资基金的羊群效应进行了研究,并得出羊群效应很高的一致结论。但是对于基金羊群行为对股市波动的影响的研究却没有得出一个一致性的结论。所以,研究证券投资基金的羊群行为及其对股市波动的影响,对促进我国股市的健康发展有着十分重要的理论意义和现实意义。本文先对我国证券投资基金的投资行为、证券投资基金存在的问题和我国股市波动的特征进行了分析,之后选取了2006年到2011年之间的股票型基金的十大重仓股作数据为样本,利用LSV模型对基金的羊群行为进行了测算,并用该测算结果和股市的波动特征进行了实证分析。通过研究并得出结论：我国证券投资基金普遍具有明显的羊群行为,但根据实证分析得出我国的基金羊群行为与股市波动之间相关关系很弱。最后本文结合前述研究,从提高信息的透明度、加快完善股市做空交易制度、提高上市公司质量、提高上市公司分红机制、建立有效地法律监管体系以及加强基金本身优化发展方面提出了优化我国证券投资基金健康发展,改善我国股票市场投资环境的政策建议。
[Abstract]:In China, the stock market has been volatile since the birth of the phenomenon. In order to curb the abnormal volatility of the market, management put forward a strategy to encourage institutional investors to develop vigorously. China's securities investment funds have developed into an important force in the stock market. Therefore, the herding behavior of securities investment funds in China has been paid more and more attention in recent years. At present, many scholars have studied the herding behavior of securities investment funds in China through LSV model. But the research on the influence of herding behavior on stock market volatility has not reached a consistent conclusion. Therefore, the paper studies the herd behavior of securities investment fund and its influence on stock market volatility. It is of great theoretical and practical significance to promote the healthy development of China's stock market. This paper first analyzes the investment behavior of China's securities investment funds, the problems existing in the securities investment funds and the characteristics of the volatility of China's stock market, and then selects the top ten heavyweight stocks of the equity funds from 2006 to 2011 as the data samples. This paper uses LSV model to measure the herding behavior of the fund, and makes an empirical analysis with the result of the calculation and the volatility characteristics of the stock market. Through research and conclusion: China's securities investment funds generally have obvious herding behavior, but according to empirical analysis, the correlation between fund herding behavior and stock market volatility is very weak. In order to improve the transparency of information, accelerate the improvement of the system of short trading in the stock market, improve the quality of listed companies, and improve the dividend mechanism of listed companies, In the aspect of establishing an effective legal supervision system and strengthening the optimization and development of the fund itself, the paper puts forward some policy suggestions on optimizing the healthy development of China's securities investment funds and improving the investment environment of our country's stock market.
【学位授予单位】：西安电子科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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