中国公募基金的行业羊群效应

发布时间：2018-03-03 05:09

本文选题：行业羊群效应　切入点：公募基金　出处：《上海交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文通过检验行业买入比及其滞后项的平均横截面相关系数来研究中国公募基金的行业羊群效应。文中所用的数据为2002年到2013年的半年度公募基金持股数据，并根据中国证监会旧行业标准归入22个行业。实证结果显示，行业买入比及其滞后项的平均横截面相关系数为0.08，，其中有0.12是由基金之间互相跟随形成行业羊群效应造成的，而另外-0.04来自于基金的自我持股周转。尽管从整个时间段来看，我们的结果与美国市场相比并不显著，但是我们发现在2007年之前，由行业羊群效应造成的平均横截面相关系数高达0.35，显著为正并且显著高于2007年之后的相应数值。在确保了结果稳健性的基础上，本文做了相关检验，从两个维度对以上现象给予了三种解释：1）与美国相比，中国公募基金的持股周转率较高（水平维度）；2）与往年相比，近年我国公募基金在行业选择的能力上有所提升（垂直维度）；3）与往年相比，近年我国具有羊群效应的股票在各个行业的分散更加广泛（垂直维度）。
[Abstract]:This paper studies the herding effect of Chinese public funds by examining the average cross-sectional correlation coefficient of the industry buy-ratio and its lag terms. The data in this paper are semi-annual public offering fund shareholding data from 2002 to 2013. The empirical results show that the average cross-sectional correlation coefficient of the industry buy-ratio and its lag term is 0.08, and 0.12 of which is caused by the herd effect of the industry following each other among the funds, the empirical results show that the average cross-sectional correlation coefficient of the industry buy-ratio and its lag term is 0.08. And -0.04 comes from the fund's self-equity turnover. Although our results are not significant over the entire time frame compared to the U. S. market, we found that before 2007, The average cross-section correlation coefficient caused by herding effect in the industry is as high as 0. 35, which is significantly positive and higher than the corresponding value after 2007. On the basis of ensuring the robustness of the results, the correlation test is done in this paper. Compared with the United States, China's public funds have a higher turnover rate of shares (horizontal dimension: 2) compared with previous years, the Chinese public offering funds have a higher turnover rate of shares than those of the United States. In recent years, the ability of public offering funds in industry selection has been improved (vertical dimension / 3), compared with previous years, the stock with herding effect in China has been more widely dispersed (vertical dimension) in various industries in recent years.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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