开放式基金在A股高聚集性股票间羊群效应的实证分析

发布时间：2018-05-26 15:06

本文选题：羊群效应 + A股　；参考：《上海交通大学》2013年硕士论文

【摘要】：羊群效应是指人们经常受到多数人影响，，而跟从大众的思想或行为，也被称为“从众效应”。人们会追随大众所同意的，自己并不会思考事件的意义。该效应最早应用于证券市场，最早是股票投资中的一个术语，主要是指投资者在交易过程中存在学习与模仿现象，“有样学样”，盲目效仿别人，从而导致他们在某段时期内买卖相同的股票。羊群效应作为行为金融学研究的一个重点领域，结合大量心理学（Psychologics）和行为学（Human Ethologics）等学科的前沿理论成果，修正并调整对于“理性人”假设，成功解释了市场间投资趋同性的市场异象并衍生出特定的实证模型。本文结合行为金融学中对于羊群效应的相关理论知识与分析模型。重点讨论羊群效应理论并运用LSV模型对我国A股市场上开放式基金在高聚集性股票群体的羊群效应进行实证检验。检验机构投资者高聚集性股票间市场间羊群效应的程度，并分析和解释成因。最后对给出相应的政策启示与建议。
[Abstract]:Herding is often influenced by the majority, and following the masses is also called the "herd effect". People follow what the masses agree, and they don't think about the meaning of events. This effect was first applied in the stock market, and it was originally a term in stock investment. It mainly refers to the phenomenon of investors learning and imitating in the course of trading. This leads them to buy and sell the same shares for a certain period of time. Herding, as an important field of behavioral finance research, combines the advanced theoretical achievements of psychology and behavioral science, and so on, to revise and adjust the hypothesis of "rational man". It successfully explains the market anomalies of intermarket investment convergence and derives a specific empirical model. This paper combines the relevant theoretical knowledge and analytical model of herding effect in behavioral finance. This paper focuses on the herding theory and uses LSV model to test the herding effect of open-end funds in high aggregate stock market in China's A-share market. To test the degree of herding effect in the high concentration stock market of institutional investors, and to analyze and explain the cause of the herding effect. Finally, the corresponding policy implications and suggestions are given.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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