【摘要】：本文運用實證檢驗和博弈分析方法對中國證券投資基金的羊群行為進行了分析研究,包括以下兩項內(nèi)容：(1)對中國證券投資基金的羊群行為進行了實證檢驗；(2)基于演化博弈理論對證券投資基金的羊群行為進行了博弈分析,并進行了模擬仿真。 首先,分析了羊群行為的概念,對其作了全面梳理,并將近年來國內(nèi)外學(xué)者對羊群行為理論、模型等方面的研究成果進行了系統(tǒng)回顧。 實證檢驗方面,本文利用修正后的LSV檢測法,選擇深證和上證市場2010—2012年的100家開放式基金交易數(shù)據(jù)作為樣本,進行計算分析,結(jié)果得出我國證券投資基金存在嚴重的羊群行為,其羊群行為度高達23.92%,其中買入羊群行為度要比賣出羊群行為度要小。同時得到,羊群行為與股票流動規(guī)模呈負相關(guān),且在某些熱門行業(yè)羊群行為程度更加嚴重。 之后引入博弈理論框架,構(gòu)造證券市場常見情形下的博弈模型,并進行了博弈均衡分析。然后以基金經(jīng)理為使自己的業(yè)績排名靠前所得到的報酬和名譽等個人利益最大化為前提,構(gòu)建了基金經(jīng)理的演化博弈模型,并設(shè)定相應(yīng)參數(shù)進行仿真演練,最后對仿真結(jié)果進行分析,得出仿真參數(shù)中的基金經(jīng)理自主決策的收益、分析成本系數(shù)以及記憶長度均能影響羊群行為的產(chǎn)生。 最后,結(jié)合本文研究成果,從管理制度、投資環(huán)境、考核體系、提高市場參與者水平等角度提出了抑制或緩解羊群行為的對策措施與建議。
[Abstract]:This paper uses the empirical test and game analysis method to analyze the herd behavior of China's securities investment funds, including the following two aspects: (1) the herd behavior of China's securities investment funds is empirically tested; (2) based on evolutionary game theory, the herd behavior of securities investment funds is analyzed and simulated. Firstly, the concept of herding behavior is analyzed, and the research results of herding behavior theory and model are reviewed systematically. In the empirical test, this paper uses the modified LSV test method, selects 100 open-end fund transaction data of Shenzhen Stock Exchange and Shanghai Stock Exchange market from 2010 to 2012 as the sample, carries on the calculation analysis. The results show that there is serious herding behavior in the securities investment funds in China, and the herding behavior degree is as high as 23.92, among which the buying herding behavior is smaller than the selling herding behavior. At the same time, there is a negative correlation between herding behavior and the scale of stock flow, and the degree of herding behavior is more serious in some popular industries. Then the game theory frame is introduced to construct the game model under the common situation of the stock market, and the game equilibrium analysis is carried out. Then, based on the premise that fund manager maximizes his personal benefits, such as reward and reputation, the evolutionary game model of fund manager is constructed, and the corresponding parameters are set up for simulation exercise. Finally, the simulation results are analyzed, and the income of the fund manager in the simulation parameters is obtained. The cost coefficient and memory length can affect the herd behavior. Finally, combined with the research results of this paper, this paper puts forward some countermeasures and suggestions to restrain or alleviate herding behavior from the aspects of management system, investment environment, assessment system and raising the level of market participants.
【學(xué)位授予單位】：中南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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本文編號：2334014