本文選題：證券投資基金　切入點(diǎn)：羊群行為　出處：《西安電子科技大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：在我國,股市自誕生以來就一直有波動劇烈的現(xiàn)象,管理層為了抑制市場異常波動,提出了鼓勵機(jī)構(gòu)投資者大力發(fā)展的戰(zhàn)略。在這種政策引導(dǎo)下,我國的證券投資基金已經(jīng)發(fā)展成了股市中的重要的力量,所以我國證券投資基金的羊群行為近年來一直受到了很高的關(guān)注。目前已經(jīng)有很多學(xué)者通過LSV模型對我國證券投資基金的羊群效應(yīng)進(jìn)行了研究,并得出羊群效應(yīng)很高的一致結(jié)論。但是對于基金羊群行為對股市波動的影響的研究卻沒有得出一個一致性的結(jié)論。所以,研究證券投資基金的羊群行為及其對股市波動的影響,對促進(jìn)我國股市的健康發(fā)展有著十分重要的理論意義和現(xiàn)實(shí)意義。 本文先對我國證券投資基金的投資行為、證券投資基金存在的問題和我國股市波動的特征進(jìn)行了分析,之后選取了2006年到2011年之間的股票型基金的十大重倉股作數(shù)據(jù)為樣本,利用LSV模型對基金的羊群行為進(jìn)行了測算,并用該測算結(jié)果和股市的波動特征進(jìn)行了實(shí)證分析。 通過研究并得出結(jié)論：我國證券投資基金普遍具有明顯的羊群行為,但根據(jù)實(shí)證分析得出我國的基金羊群行為與股市波動之間相關(guān)關(guān)系很弱。最后本文結(jié)合前述研究,從提高信息的透明度、加快完善股市做空交易制度、提高上市公司質(zhì)量、提高上市公司分紅機(jī)制、建立有效地法律監(jiān)管體系以及加強(qiáng)基金本身優(yōu)化發(fā)展方面提出了優(yōu)化我國證券投資基金健康發(fā)展,改善我國股票市場投資環(huán)境的政策建議。
[Abstract]:In China, the stock market has been volatile since the birth of the phenomenon. In order to curb the abnormal volatility of the market, management put forward a strategy to encourage institutional investors to develop vigorously. China's securities investment funds have developed into an important force in the stock market. Therefore, the herding behavior of securities investment funds in China has been paid more and more attention in recent years. At present, many scholars have studied the herding behavior of securities investment funds in China through LSV model. But the research on the influence of herding behavior on stock market volatility has not reached a consistent conclusion. Therefore, the paper studies the herd behavior of securities investment fund and its influence on stock market volatility. It is of great theoretical and practical significance to promote the healthy development of China's stock market. This paper first analyzes the investment behavior of China's securities investment funds, the problems existing in the securities investment funds and the characteristics of the volatility of China's stock market, and then selects the top ten heavyweight stocks of the equity funds from 2006 to 2011 as the data samples. This paper uses LSV model to measure the herding behavior of the fund, and makes an empirical analysis with the result of the calculation and the volatility characteristics of the stock market. Through research and conclusion: China's securities investment funds generally have obvious herding behavior, but according to empirical analysis, the correlation between fund herding behavior and stock market volatility is very weak. In order to improve the transparency of information, accelerate the improvement of the system of short trading in the stock market, improve the quality of listed companies, and improve the dividend mechanism of listed companies, In the aspect of establishing an effective legal supervision system and strengthening the optimization and development of the fund itself, the paper puts forward some policy suggestions on optimizing the healthy development of China's securities investment funds and improving the investment environment of our country's stock market.
【學(xué)位授予單位】：西安電子科技大學(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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