A Study Of China Funds' Investment Behavior

With the challenge towards the Traditional Financial Theory and the development of Behavior Theory, the Empirical Study of the investment fund's behavior became more and more prevalent .As China's Securities Market and investors have their own features, the data and original study based on the research will enrich and test the Behavior Financial Theory.How to open the "Black Box" of fund manager's investment decision? This paper will study the fund's Characteristics Timing, Herd Behavior and Window Dressing through the exoteric information of fund and induce the Characteristics of china's funds' investment behavior based on the study, then give some advice to government to improve the validity of investment regulation. The paper includes seven parts.Chapter â… . Firstly we introduce the background of the study,. Secondly, we show the motive and meaning of the research .at the same time ,we explain the method of the research, the source of the study data and the structure of the whole paper. Finally we point out the main innovative conception.Chapter â…¡. with reviewing the development and the Empirical Study of the Behavior Financial Theory , we stress the behaviors of the internal and external investors. Especially for the achievement of the investment fund's behavior. We also objectively introduce the research of the fund's Characteristic Timing, Herd Behavior and Window Dressing in the world. Then we point out the research direction of this paperIn chapter â…¢we simply conclude the characteristic of china fund's investment behavior by descriptive statistic data and combine interrelated reports of fund manager's portfolio holdings .Then we test the significance of researching Chinese fund's Characteristic Timing, Herd Behavior, Window Dressing in Chapter â…£to Chapter â…¥.In chapter â…£. Firstly, we filtrate the main factors of China's funds when theyselect stocks though the method of Principal Components. After that, we use linear regression of log.a.rithm method to make a regression with fund's cross-sectional data. We test the relation between fund manager's ownership for a specific stock and the stock's age, size and other factors, then deduce the preference in picking up stocks of China's investment funds. In order to analyze the characteristic of China's securities funds in opting stock, we test the model in the different market periods and the different type of the fund. We find that China securities investment fund sticks to the concept of value investment, but there still exists the unreasonable transaction in certain degree.In chapter V we study the Window Dressing of China's investment funds by using the method of Proceeds Reverse Effect of funds' stocks in the early and end days every quarter. Conclusions as follows: There is a certain Window Dressing in china's investment fund. The degree of China fund's Window Dressing is higher in closed-end funds than in open-ended funds. Especially in closed-end funds at fourth quarter and in their inactive stocks. The funds use their inactive stocks to boost the net value in the end of year to dressing their performance, especially at the fourth quarter.In chapter VI we first review the method to test herd behavior, especially the LSV and Wermers method, then use these method to test the herd behavior of china's different fund in different period. Conclusions as follows: First, There is obvious Herd Behavior in china's investment fund. Second, There is higher correlation between the Herd Behavior and market index. Third, The degree of China fund's Herd Behavior is higher in the bull market than in the bear market, higher in the second and fourth quarters than in the first and third quarters, higher in close-ended funds than in open-ended funds. It also shows that the buy herding is bigger than the sell herding in the bull market and reverse in the bear market.In Chapter VII we summarize the characteristic of china's investment funs' behavior by interpreting and discussing the empirical results of our study. We give out some pieces of advice to regulatorsIn conclusion, the problems requiring further studies of this topic and the research direction of this study are discussed briefly.