中国证券投资基金“羊群行为”及其对股价波动性的影响研究
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摘要
20世纪90年代以来，证券投资基金在我国取得了较大的发展。作为一个机构投资者，证券投资基金在证券市场中发挥着重大的作用。然而，证券投资基金在发挥重大作用的同时，也具有非理性行为。“羊群行为”就是其中一种非理性行为。证券投资基金“羊群行为”是涉及多个投资主体的相关性行为，对市场的稳定性和效率会产生很大的影响，并且与金融危机关系密切。因此这一问题值得学术界、投资界和金融监管部门调查和研究。
基于以上的认识和理解，本论文在总结以往“羊群行为”研究的基础上，运用LSV模型，实证研究我国证券投资基金是否存在显著的“羊群行为”。并且在此基础上，实证研究证券投资基金“羊群行为”对股价波动性的影响。同时，通过大量的文献阅读，对实证结果进行了深入的剖析，并提出了一些具有较大价值的对策和建议。
全文共由六章组成。
第一章：提出了本文的研究背景、研究意义、研究目的、研究方法以及研究进展。
第二章：论述了证券投资基金的概念、特点以及证券投资基金“羊群行为”的产生原因。
第三章：论述了“羊群行为”的研究方法、以往的研究成果、并对以往研究成果进行了总结。
第四章：实证检验我国证券投资基金是否存在显著的“羊群行为”，然后在此基础上，通过对上市公司的分组研究来剖析证券投资基金的“羊群行为”。
第五章：实证研究我国证券投资基金“羊群行为”对股价波动性的影响。
第六章：对实证研究结果进行分析和讨论，并指出以后研究的方向。
Securities investment fund has achieved comparatively great development in China since the 1990' s. As an institutional investor, securities investment fund plays a significant role in security market. However, it also has an irrational side. Herd Behavior is one kind of its irrational acts. Herd Behavior in securities investment fund involving many investment subjects has a very big influence on market stability and efficiency. In addition, it' s closely connected with financial crisis. So the issue warrants investigating and studying by the academic circles, the investment communily and the financial supervisory departments.
In view of the above-mentioned knowledge and comprehension, this thesis is based on summarizing the previous studies of Herd Behavior. Then it uses the LSV model to empirically testify if China' s securities investment fund has marked Herd Behavior. Afterwards, on the above foundation, the thesis empirically studies the influence of Herding Behavior on the volatility of stock price. Meanwhile, through a vast amount of document-reading, it gives a penetrating analysis of the results and raises some countermeasures and suggestions with relatively great value.
The whole text consists of six chapters.
Chapter I: To put forward the background, significance, purpose, method and progress of studies about this text.
Chapter II: To expound the concept and traits of securities investment fund, along with the reasons bringing about Herd Behavior in securities investment fund.
Chapter III: To discuss the methods of studying Herd Behavior and the results of previous studies about Herd Behavior.
Chapter IV: To empirically testify if securities investment fund in China has marked Herd Behavior, then on this basis to study Herd Behavior
in securities investment fund by cluster research of the listed companies.
Chapter V: To empirically study the influence of Herd Behavior in China' s securities investment fund upon the volatility of stock price.
Chapter VI: To analyze and discuss the study results, then to point out the study direction later.
基于以上的认识和理解，本论文在总结以往“羊群行为”研究的基础上，运用LSV模型，实证研究我国证券投资基金是否存在显著的“羊群行为”。并且在此基础上，实证研究证券投资基金“羊群行为”对股价波动性的影响。同时，通过大量的文献阅读，对实证结果进行了深入的剖析，并提出了一些具有较大价值的对策和建议。
全文共由六章组成。
第一章：提出了本文的研究背景、研究意义、研究目的、研究方法以及研究进展。
第二章：论述了证券投资基金的概念、特点以及证券投资基金“羊群行为”的产生原因。
第三章：论述了“羊群行为”的研究方法、以往的研究成果、并对以往研究成果进行了总结。
第四章：实证检验我国证券投资基金是否存在显著的“羊群行为”，然后在此基础上，通过对上市公司的分组研究来剖析证券投资基金的“羊群行为”。
第五章：实证研究我国证券投资基金“羊群行为”对股价波动性的影响。
第六章：对实证研究结果进行分析和讨论，并指出以后研究的方向。
Securities investment fund has achieved comparatively great development in China since the 1990' s. As an institutional investor, securities investment fund plays a significant role in security market. However, it also has an irrational side. Herd Behavior is one kind of its irrational acts. Herd Behavior in securities investment fund involving many investment subjects has a very big influence on market stability and efficiency. In addition, it' s closely connected with financial crisis. So the issue warrants investigating and studying by the academic circles, the investment communily and the financial supervisory departments.
In view of the above-mentioned knowledge and comprehension, this thesis is based on summarizing the previous studies of Herd Behavior. Then it uses the LSV model to empirically testify if China' s securities investment fund has marked Herd Behavior. Afterwards, on the above foundation, the thesis empirically studies the influence of Herding Behavior on the volatility of stock price. Meanwhile, through a vast amount of document-reading, it gives a penetrating analysis of the results and raises some countermeasures and suggestions with relatively great value.
The whole text consists of six chapters.
Chapter I: To put forward the background, significance, purpose, method and progress of studies about this text.
Chapter II: To expound the concept and traits of securities investment fund, along with the reasons bringing about Herd Behavior in securities investment fund.
Chapter III: To discuss the methods of studying Herd Behavior and the results of previous studies about Herd Behavior.
Chapter IV: To empirically testify if securities investment fund in China has marked Herd Behavior, then on this basis to study Herd Behavior
in securities investment fund by cluster research of the listed companies.
Chapter V: To empirically study the influence of Herd Behavior in China' s securities investment fund upon the volatility of stock price.
Chapter VI: To analyze and discuss the study results, then to point out the study direction later.
引文
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[2] Lakonishok, Josef, Andrei Shleifer, and Rober W.Vishny, "The impact of institutional trading on stock prices", Journal of Financial Economics,1992, Vol.32, pp.23-44;
[3] Grinblatt, Mark, Sheridan Titman and Russ Wermers, "Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior,"American Economic Review, 1995, Vol. 85 No. 5, pp. 1088-1105;
[4] Russ Wermers, "Mutual Fund Herding and the Impact on Stock Prices", The Journal of Financial, 1999,No.2;
[5] Davis E. P.,"The Role of Institutional Investors in the Evolution of Financial Structure and Behaviour", in "The Future of the Financial System", proceedings of a conference held at the Reserve Bank of Australia, RBA, Sydney, 1996;
[6] 孙培源、施东晖，《基于CAPM的中国股市羊群行为研究——兼与宋军、吴冲锋先生商榷》，《经济研究》，2002．2；
[7] Keynes, J.M., " The General Theory of Employment, Interest and Money ", London:Macmillan, 1936;
[8] Torben ,Lukas Menkhoff, "Risk Management ,Rational Herding and Institutional Investors:A Macro View",Discussion paper, No.285 ,October 2003;
[9] Bikhchandani, Sushil, David Hirshleifer, and Ivo Welch, "Learning from the Behavior of Others: Conformity, Fads and Informational Cascades," Journal of Economic Perspectives, 1998,Vol. 12, pp.151-170;
[10] Shiller, R.J.," Conversation, Information, and Herd Behavior", American Economic Review, 1990,pp. 181-185;
[11] Bikhchandani, Sushil, David Hirshleifer, and Ivo Welch, "A Theory of Fads, Fashion,Custom and Cultural Change as Informational Cascades," Journal of Political Economy, 1992,Vol. 100, pp. 992-1026;
[12] Scharfstein.D.,J.Stein. "Herd Behavior and Investment" ,American Economic Review, 1990, Vol.80,pp.465-479;
[13] Maug,Ernst and Narayan Naik,"Herding and Delegated Portfolio Management",(unpubished: London:London Business School), 1996;
[14] Avery, Christopher and Peter Zemsky, "Multidimensional Uncertainty and Herd Behavior in
Financial Markets," American Economic Review, 1998, Vol.88,pp.724-48;
[15] Trueman, Brett, "Analyst Forecasts and Herding Behavior," Review of Financial Studies,1994, Vol. 7, pp. 97-124;
[16] Zwiebel, Jeffrey, "Corporate Conservatism and Relative Compensation," Journal of Political Economy, 1995, Vol. 103, No. 1, pp. 1-25;
[17] Prendergast, Canice and Lars Stole, "Impetuous Youngsters and Jaded Old-Timers:Acquiring a Reputation for Learning," Journal of Political Economy, 1996, Vol. 104, No. 6, pp. 1105-34;
[18] Roll, Richard, "A Mean/Variance Analysis of Tracking Error," Journal of Portfolio Management, summer 1992, pp. 13-22;
[19] Brennan, Michael, "Agency and Asset Prices," Finance Working Paper,1993, No.6-93, UCLA;
[20] 景乃权、叶庆祥、陈新秀，《证券市场羊群行为的机理及其在我国的应用》，《国际金融研究》，2002．8；
[21] Admati, Anat and Paul Pfleiderer, "Does it All Add Up? Benchmarks and theCompensation of Active Portfolio Managers," Journal of Business, 1997, Vol.70, pp.323-50;
[22] William, "When Do Institutions and Individuals Buy and Sell? Evidence from the Nasdaq Shakeout", Working Paper, Arizona State University, 1995;
[23] Dwight R. Sanders & Scott H. Irwin & Raymond M. Leuthold, "Noise Traders, Market Sentiment, and Futures Price Behavior," Finance 9707001, Economics Working Paper Archive at WUSTL, 1997;
[24] Chang, R. & Majnoni, G., " International Contagion: Implications for Policy," Papers 2306, World Bank - Country Economics Department, 2000;
[25] 宋军、吴冲锋，《基于分散度的金融市场羊群行为研究》，《经济研究》，2001．10；
[26] 宋军、吴冲锋，《证券市场中羊群行为的比较研究》，《统计研究》，2001．11；
[27] 施东晖，《证券投资基金交易行为及其市场影响实证分析》，《世界经济》，2001．10；
[28] 施东晖，《中国股市微观行为：理论与实证》，上海：远东出版社，2001；
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[31] Ana Paula Serra, "Herding Behavior Evidence from Portuguese Mutual Funds", The Journal of Financial , 2001 ;
[32] Bikhchandani, Sushil and Sunil Sharma, Herd Behavior in Financial Markets, IMF Staff Papers, 2001,Vol.47, No.3, pp.279-310;
[33] Graham, John R., "Herding among Investment Newsletters: Theory and Evidence,"Journal of Finance, 1995, Vol.54, pp. 237-68;
[34] Lakonishok.J.,A.Shleifer & R.W.Vishny, "Window Dressing by Pension Fund Managers" ,American Economic Review, 1991, Vol.81,pp.227-231;
[35] Grinblatt, Mark and Matti Keloharju, "The Investment Behavior and Performance of Various Investor Types: A Study of Finland's Unique Data Set", Journal of Financial Economics, 2000, Vol. 25, pp.43-67;
[36] Hirshleifer, David and Siew Hong Teoh, Herd Behavior and Cascading in Capital Markets: A Review and Synthesis, Working Paper, Ohio State University, 2001;
[37] Banerjee, Abhijit, "A Simple Model of Herd Behavior," Quarterly Journal of Economics,1992, Vol. 107, pp. 797-818;
[38] Calvo, Guillermo and Enrique Mendoza, "Rational Herd Behavior and Globalization of Securities Markets," Journal of International Economics, 2000, Vol. 51, No 1 (June), pp. 79-113;
[39] Choe, Hyuk, Bong-Chan Kho, and Rene M. Stulz, "Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997," Journal of Financial Economics, 1999, Vol. 54,pp. 227-264;
[40] Chevalier, Judith and Glenn Ellison, "Career Concerns of Mutual Fund Managers,"Quarterly Journal of Economics, May, 1999,pp. 389-432;
[41] Ryuichi Nakagawa , Herd Behavior in the Japanese Loan Market: Evidence from Semi-Macro Data, Wakayama University Working Paper Series, 2003,NO.03-02,pp.234-256;
[42] Sias.R.W., "Volatility and the Institutional Investor" ,Financial Analyst Journal, March/April, 1996,pp.13-19;
[43] Daniel, Kent, Mark Grinblatt, Sheridan Titman, and Russ Wermers, Measuring Mutual Fund Performance with Characteristic-Based Benchmarks, Journal of Finance, LⅡ,3, July, 1997, pp.1035-1058;
[44] Nofsinger, John R. and Richard W. Sias, "Herding and Feedback Trading by Institutional and Individual Investors", Journal of Finance,LIV,6, December, 1999,pp.2263-2295;
[45] 宋军、吴冲锋，《金融市场中羊群行为的成因及控制对策研究》，《财经理论与实践》，2001．6；
[46] 杨平，《证券投资基金稳定市场功能的实证分析》，《经济理论与经济管》，2002．4；
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[2] Lakonishok, Josef, Andrei Shleifer, and Rober W.Vishny, "The impact of institutional trading on stock prices", Journal of Financial Economics,1992, Vol.32, pp.23-44;
[3] Grinblatt, Mark, Sheridan Titman and Russ Wermers, "Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior,"American Economic Review, 1995, Vol. 85 No. 5, pp. 1088-1105;
[4] Russ Wermers, "Mutual Fund Herding and the Impact on Stock Prices", The Journal of Financial, 1999,No.2;
[5] Davis E. P.,"The Role of Institutional Investors in the Evolution of Financial Structure and Behaviour", in "The Future of the Financial System", proceedings of a conference held at the Reserve Bank of Australia, RBA, Sydney, 1996;
[6] 孙培源、施东晖，《基于CAPM的中国股市羊群行为研究——兼与宋军、吴冲锋先生商榷》，《经济研究》，2002．2；
[7] Keynes, J.M., " The General Theory of Employment, Interest and Money ", London:Macmillan, 1936;
[8] Torben ,Lukas Menkhoff, "Risk Management ,Rational Herding and Institutional Investors:A Macro View",Discussion paper, No.285 ,October 2003;
[9] Bikhchandani, Sushil, David Hirshleifer, and Ivo Welch, "Learning from the Behavior of Others: Conformity, Fads and Informational Cascades," Journal of Economic Perspectives, 1998,Vol. 12, pp.151-170;
[10] Shiller, R.J.," Conversation, Information, and Herd Behavior", American Economic Review, 1990,pp. 181-185;
[11] Bikhchandani, Sushil, David Hirshleifer, and Ivo Welch, "A Theory of Fads, Fashion,Custom and Cultural Change as Informational Cascades," Journal of Political Economy, 1992,Vol. 100, pp. 992-1026;
[12] Scharfstein.D.,J.Stein. "Herd Behavior and Investment" ,American Economic Review, 1990, Vol.80,pp.465-479;
[13] Maug,Ernst and Narayan Naik,"Herding and Delegated Portfolio Management",(unpubished: London:London Business School), 1996;
[14] Avery, Christopher and Peter Zemsky, "Multidimensional Uncertainty and Herd Behavior in
Financial Markets," American Economic Review, 1998, Vol.88,pp.724-48;
[15] Trueman, Brett, "Analyst Forecasts and Herding Behavior," Review of Financial Studies,1994, Vol. 7, pp. 97-124;
[16] Zwiebel, Jeffrey, "Corporate Conservatism and Relative Compensation," Journal of Political Economy, 1995, Vol. 103, No. 1, pp. 1-25;
[17] Prendergast, Canice and Lars Stole, "Impetuous Youngsters and Jaded Old-Timers:Acquiring a Reputation for Learning," Journal of Political Economy, 1996, Vol. 104, No. 6, pp. 1105-34;
[18] Roll, Richard, "A Mean/Variance Analysis of Tracking Error," Journal of Portfolio Management, summer 1992, pp. 13-22;
[19] Brennan, Michael, "Agency and Asset Prices," Finance Working Paper,1993, No.6-93, UCLA;
[20] 景乃权、叶庆祥、陈新秀，《证券市场羊群行为的机理及其在我国的应用》，《国际金融研究》，2002．8；
[21] Admati, Anat and Paul Pfleiderer, "Does it All Add Up? Benchmarks and theCompensation of Active Portfolio Managers," Journal of Business, 1997, Vol.70, pp.323-50;
[22] William, "When Do Institutions and Individuals Buy and Sell? Evidence from the Nasdaq Shakeout", Working Paper, Arizona State University, 1995;
[23] Dwight R. Sanders & Scott H. Irwin & Raymond M. Leuthold, "Noise Traders, Market Sentiment, and Futures Price Behavior," Finance 9707001, Economics Working Paper Archive at WUSTL, 1997;
[24] Chang, R. & Majnoni, G., " International Contagion: Implications for Policy," Papers 2306, World Bank - Country Economics Department, 2000;
[25] 宋军、吴冲锋，《基于分散度的金融市场羊群行为研究》，《经济研究》，2001．10；
[26] 宋军、吴冲锋，《证券市场中羊群行为的比较研究》，《统计研究》，2001．11；
[27] 施东晖，《证券投资基金交易行为及其市场影响实证分析》，《世界经济》，2001．10；
[28] 施东晖，《中国股市微观行为：理论与实证》，上海：远东出版社，2001；
[29] Robert B. Barsky and J. Bradford DeLong, "Bull and Bear Markets in the Twentieth Century," Journal of Economic History 50:2 , June, 1990 , pp. 1-17;
[30] Porterba, J.M.,Summers,L.H, "The Persistence of Volatility and Stock Market Fluctuations", The American Economic Review, 1990,pp. 1142-1151;
[31] Ana Paula Serra, "Herding Behavior Evidence from Portuguese Mutual Funds", The Journal of Financial , 2001 ;
[32] Bikhchandani, Sushil and Sunil Sharma, Herd Behavior in Financial Markets, IMF Staff Papers, 2001,Vol.47, No.3, pp.279-310;
[33] Graham, John R., "Herding among Investment Newsletters: Theory and Evidence,"Journal of Finance, 1995, Vol.54, pp. 237-68;
[34] Lakonishok.J.,A.Shleifer & R.W.Vishny, "Window Dressing by Pension Fund Managers" ,American Economic Review, 1991, Vol.81,pp.227-231;
[35] Grinblatt, Mark and Matti Keloharju, "The Investment Behavior and Performance of Various Investor Types: A Study of Finland's Unique Data Set", Journal of Financial Economics, 2000, Vol. 25, pp.43-67;
[36] Hirshleifer, David and Siew Hong Teoh, Herd Behavior and Cascading in Capital Markets: A Review and Synthesis, Working Paper, Ohio State University, 2001;
[37] Banerjee, Abhijit, "A Simple Model of Herd Behavior," Quarterly Journal of Economics,1992, Vol. 107, pp. 797-818;
[38] Calvo, Guillermo and Enrique Mendoza, "Rational Herd Behavior and Globalization of Securities Markets," Journal of International Economics, 2000, Vol. 51, No 1 (June), pp. 79-113;
[39] Choe, Hyuk, Bong-Chan Kho, and Rene M. Stulz, "Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997," Journal of Financial Economics, 1999, Vol. 54,pp. 227-264;
[40] Chevalier, Judith and Glenn Ellison, "Career Concerns of Mutual Fund Managers,"Quarterly Journal of Economics, May, 1999,pp. 389-432;
[41] Ryuichi Nakagawa , Herd Behavior in the Japanese Loan Market: Evidence from Semi-Macro Data, Wakayama University Working Paper Series, 2003,NO.03-02,pp.234-256;
[42] Sias.R.W., "Volatility and the Institutional Investor" ,Financial Analyst Journal, March/April, 1996,pp.13-19;
[43] Daniel, Kent, Mark Grinblatt, Sheridan Titman, and Russ Wermers, Measuring Mutual Fund Performance with Characteristic-Based Benchmarks, Journal of Finance, LⅡ,3, July, 1997, pp.1035-1058;
[44] Nofsinger, John R. and Richard W. Sias, "Herding and Feedback Trading by Institutional and Individual Investors", Journal of Finance,LIV,6, December, 1999,pp.2263-2295;
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