我国证券投资基金羊群行为和正反馈行为的实证研究

首先对羊群行为和正反馈行为基本理论进行了综述,对我国证券投资基金的羊群行为和正反馈行为进行了实证分析,统计检验结果表明:从整体上讲,我国证券投资基金存在显著的羊群行为,且卖出羊群行为明显大于买入羊群行为;在整个样本期间,前期市场中存在着正反馈行为,后期市场中存在着负反馈行为。最后,根据实证结果,分析了证券投资基金交易行为存在的原因,并给出了清除羊群行为和正反馈行为的政策建议。

Empirically Research on Herding Behavior and Positive Feedback Behavior of China＇s Securities Investment Fund

The article reviews theoretically the herding behavior and positive feedback transaction behav- ior, then analyzes empirically them with respect to China＇s securities funds. The statistical test results show that there is a herding behavior of China＇s securities investment funds, and the behavior plays a more im- portant role in selling than in buying. In the whole period, the positive feedback transaction behavior is found in the prior period, while the negative one is found in later period. According to the empirical inves- tigation result, the reasons why the securities investment funds come to pass in China＇s stock market is ana- lyzed, and some policy suggestions are given to get rid of herding behavior and positive feedback transac- tion behavior.