【摘要】：本文以行為金融學(xué)的基本理論為依據(jù),結(jié)合現(xiàn)代統(tǒng)計學(xué)的基礎(chǔ)理論,在借鑒國內(nèi)外相關(guān)的研究方法和研究成果的基礎(chǔ)上,對我國證券投資基金的羊群行為和正反饋交易行為進(jìn)行定性與定量的研究。 首先總結(jié)介紹了國內(nèi)外研究羊群行為和正反饋行為的相關(guān)文獻(xiàn),然后介紹了羊群行為和正反饋行為的相關(guān)理論,其中包括羊群行為和正反饋行為的定義、成因的理論解釋、市場效應(yīng)及計算模型的介紹。對于實證研究部分,首先說明了樣本的選取及處理,然后采用Wermers(1999)對LSV(1990)的修正模型度量我國證券投資基金的羊群行為度,特別地,計算了買入羊群行為和賣出羊群行為,并針對計算結(jié)果對其進(jìn)行分析。接著通過S.G Bactrintath and Sunil Wahal(2002)所構(gòu)建的BW方法來計算我國證券投資基金正反饋交易行為程度,并對結(jié)果進(jìn)行分析。最后結(jié)合相關(guān)性分析來檢驗羊群行為和正反饋行為的相關(guān)性。實證結(jié)果表明,在樣本區(qū)間內(nèi)我國證券投資基金始終存在著羊群行為,在對買入羊群行為度和賣出羊群行為度的計算結(jié)果中發(fā)現(xiàn),存在著不顯著的買入羊群行為和顯著的賣出羊群行為,且賣出羊群行為表現(xiàn)強于買入羊群行為。對正反饋交易行為實證研究結(jié)果表明,我國證券投資基金在前期市場主要傾向于采取正反饋交易策略,后期市場中主要傾向于采取負(fù)反饋交易策略。通過相關(guān)性分析發(fā)現(xiàn),羊群行為的發(fā)生并不是直接導(dǎo)致我國證券投資基金的正反饋交易行為的形成的主要原因,并且我國證券投資基金市場并沒有形成由羊群行為和正反饋行為而產(chǎn)生的正反饋環(huán)。
[Abstract]:Based on the basic theory of behavioral finance and the basic theory of modern statistics, this paper draws lessons from relevant research methods and results at home and abroad. The herding behavior and positive feedback trading behavior of securities investment funds in China are studied qualitatively and quantitatively. Firstly, this paper summarizes and introduces the related literatures on herd behavior and positive feedback behavior at home and abroad, and then introduces the relevant theories of herd behavior and positive feedback behavior, including the definition of herd behavior and positive feedback behavior, and the theoretical explanation of the causes. Introduction of market effect and calculation model. In the part of empirical research, the selection and processing of samples are explained, and then the modified model of Wermers (1999) to LSV (1990) is used to measure the herding behavior of China's securities investment funds. The behavior of buying and selling sheep is calculated and analyzed. Then the degree of positive feedback trading behavior of China's securities investment funds is calculated by the BW method constructed by S.G Bactrintath and Sunil Wahal (2002, and the results are analyzed. Finally, the correlation between herd behavior and positive feedback behavior is tested by correlation analysis. The empirical results show that there is always herding behavior in China's securities investment funds in the sample range, and it is found in the calculation results of buying and selling herding behavior. The behavior of buying sheep and selling sheep is not significant, and the behavior of selling sheep is stronger than that of buying sheep. The empirical study on the positive feedback trading behavior shows that China's securities investment funds tend to adopt positive feedback trading strategy in the early market and negative feedback trading strategy in the later stage of the market. Through the correlation analysis, it is found that the occurrence of herd behavior is not the main cause of the positive feedback trading behavior of China's securities investment funds. Moreover, there is no positive feedback loop produced by herding behavior and positive feedback behavior in China's securities investment fund market.
【學(xué)位授予單位】：東北大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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