不同机构投资者在创业板市场的羊群效应研究

发布时间：2018-02-11 03:41

本文关键词： 羊群效应不同机构投资者 LSV　出处：《深圳大学》2017年硕士论文　论文类型：学位论文

【摘要】：金融市场上的羊群行为是指由于受到其他投资者采取某种投资策略的影响而采取相同的投资策略,即投资者之间相互模仿、跟从做出决策,而不是基于自己的信息。羊群行为是金融市场上的一个异常现象,难以用建立在“理性人”假设基础之上的传统金融理论进行合理解释。对羊群行为的实证研究主要有两个方向:一是以股价分散度为指标,研究价格波动时股市整体是否存在羊群行为;二是以共同基金等特定类型的机构投资者为研究对象,通过分析他们的投资组合变动和交易信息来判断是否存在羊群行为。机构投资者作为现代金融业不可或缺的市场参与者,传统观点认为,机构投资者都是比较理性的投资者,它们的存在对于优化证券市场的投资结构,提高资源配置效率,促进资本市场有效运作有重要作用。但是对于那些理性成熟的证券投资基金等机构投资者而言,是否存在羊群行为,其程度如何,不同的机构投资者羊群行为是否一致,这些问题一直没有一个清晰的答案。因此,本文选取创业板市场的主要三类大型的机构投资者:证券投资基金,证券公司,保险公司为研究对象。在分析机构投资者羊群行为相关理论的基础上,通过建立LSV模型对三大机构投资者2012年1月1日至2016年12月31日的样本数据进行实证研究。得出以下结论:(1)证券投资基金、证券公司均存在显著的羊群行为,且在各年度内其买方的羊群行为程度高于卖方的羊群行为程度,总体羊群行为程度亦是买方羊群行为程度高于卖方的羊群行为程度。在样本区间内,证券投资基金总体羊群行为程度高于证券公司的羊群行为程度。(2)在样本区间,保险公司在股票交易中不存在显著的羊群行为。最后,结合研究得出的结论,提出一些可行性的建议。本文的创新点在于采用LSV模型分析的方法对于不同机构投资者分别进行了实证研究,并对他们的羊群效应程度进行了比较,有别于其他学者仅仅对于某一类机构投资者或者全部机构投资者的羊群行为的研究。通过本文的研究,可以帮助投资者了解不同机构投资者的羊群效应的严重程度,进而对于市场拥有准确的判断。
[Abstract]:Herd behavior in financial markets is the same investment strategy that investors follow and follow each other because they are influenced by some kind of investment strategy adopted by other investors. It's not based on your own information. Herd behavior is an anomaly in financial markets. It is difficult to reasonably explain the traditional financial theory based on the hypothesis of "rational man". There are two main directions in the empirical study of herding behavior: one is based on the dispersion of stock price. To study whether there is herd behavior in the stock market as a whole when the price fluctuates; second, to study the specific types of institutional investors such as mutual funds. By analyzing their portfolio changes and transaction information to determine whether herd behavior exists. Institutional investors, as an indispensable market participant in modern financial industry, have traditionally considered that institutional investors are more rational investors. Their existence plays an important role in optimizing the investment structure of the securities market, improving the efficiency of resource allocation and promoting the efficient operation of the capital market. Whether herd behavior exists, to what extent, and whether the herd behavior of different institutional investors is consistent, has not been given a clear answer. This paper selects three main types of large institutional investors in the gem market: security investment funds, securities companies and insurance companies. Based on the LSV model, this paper makes an empirical study on the sample data of the three major institutional investors from January 1st 2012 to December 31st 2016. The following conclusions are drawn: 1) the securities investment funds have remarkable herding behavior. The degree of herding behavior of the buyer is higher than that of the seller in each year, and the overall degree of herding behavior of the buyer is higher than that of the seller, and the degree of herd behavior of the buyer is higher than that of the seller in the sample interval. The overall herding behavior of the securities investment fund is higher than that of the securities company. (2) in the sample interval, there is no significant herding behavior in the stock trading of the insurance company. Finally, combined with the conclusion of the study, Some feasible suggestions are put forward. The innovation of this paper lies in the empirical study of different institutional investors by using LSV model analysis method, and the comparison of their herding effect degree. Different from other scholars' research on herding behavior of only one kind of institutional investors or all institutional investors, this paper can help investors understand the severity of herding behavior of different institutional investors. Then the market has an accurate judgment.
【学位授予单位】：深圳大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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