本文選題：行業(yè)羊群效應(yīng)　切入點：公募基金　出處：《上海交通大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：本文通過檢驗行業(yè)買入比及其滯后項的平均橫截面相關(guān)系數(shù)來研究中國公募基金的行業(yè)羊群效應(yīng)。文中所用的數(shù)據(jù)為2002年到2013年的半年度公募基金持股數(shù)據(jù)，并根據(jù)中國證監(jiān)會舊行業(yè)標(biāo)準(zhǔn)歸入22個行業(yè)。實證結(jié)果顯示，行業(yè)買入比及其滯后項的平均橫截面相關(guān)系數(shù)為0.08，，其中有0.12是由基金之間互相跟隨形成行業(yè)羊群效應(yīng)造成的，而另外-0.04來自于基金的自我持股周轉(zhuǎn)。盡管從整個時間段來看，我們的結(jié)果與美國市場相比并不顯著，但是我們發(fā)現(xiàn)在2007年之前，由行業(yè)羊群效應(yīng)造成的平均橫截面相關(guān)系數(shù)高達(dá)0.35，顯著為正并且顯著高于2007年之后的相應(yīng)數(shù)值。在確保了結(jié)果穩(wěn)健性的基礎(chǔ)上，本文做了相關(guān)檢驗，從兩個維度對以上現(xiàn)象給予了三種解釋：1）與美國相比，中國公募基金的持股周轉(zhuǎn)率較高（水平維度）；2）與往年相比，近年我國公募基金在行業(yè)選擇的能力上有所提升（垂直維度）；3）與往年相比，近年我國具有羊群效應(yīng)的股票在各個行業(yè)的分散更加廣泛（垂直維度）。
[Abstract]:This paper studies the herding effect of Chinese public funds by examining the average cross-sectional correlation coefficient of the industry buy-ratio and its lag terms. The data in this paper are semi-annual public offering fund shareholding data from 2002 to 2013. The empirical results show that the average cross-sectional correlation coefficient of the industry buy-ratio and its lag term is 0.08, and 0.12 of which is caused by the herd effect of the industry following each other among the funds, the empirical results show that the average cross-sectional correlation coefficient of the industry buy-ratio and its lag term is 0.08. And -0.04 comes from the fund's self-equity turnover. Although our results are not significant over the entire time frame compared to the U. S. market, we found that before 2007, The average cross-section correlation coefficient caused by herding effect in the industry is as high as 0. 35, which is significantly positive and higher than the corresponding value after 2007. On the basis of ensuring the robustness of the results, the correlation test is done in this paper. Compared with the United States, China's public funds have a higher turnover rate of shares (horizontal dimension: 2) compared with previous years, the Chinese public offering funds have a higher turnover rate of shares than those of the United States. In recent years, the ability of public offering funds in industry selection has been improved (vertical dimension / 3), compared with previous years, the stock with herding effect in China has been more widely dispersed (vertical dimension) in various industries in recent years.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前7條

1 王舒;;我國證券投資基金羊群效應(yīng)分析[J];產(chǎn)業(yè)與科技論壇;2010年03期

2 李學(xué)峰;李佳明;;投資者個體的羊群行為:分布及其程度——基于分割聚類的矩陣化方法[J];國際金融研究;2011年04期

3 吳福龍,曾勇,唐小我;中國證券投資基金的羊群行為分析[J];管理工程學(xué)報;2004年03期

4 陳浩;中國股票市場機(jī)構(gòu)投資者羊群行為實證研究[J];南開經(jīng)濟(jì)研究;2004年02期

5 宋軍,吳沖鋒;金融市場中羊群行為的成因及控制對策研究[J];上海交通大學(xué)學(xué)報(社會科學(xué)版);2001年04期

6 施東暉;證券投資基金的交易行為及其市場影響[J];世界經(jīng)濟(jì);2001年10期

7 宋軍,吳沖鋒;證券市場中羊群行為的比較研究[J];統(tǒng)計研究;2001年11期

本文編號：1559659