Research On Herding Behavior Of Securities Investment Funds And Internal Game In China

As the promulgate of Chinese Securities Funds Law by the end of 2003, the continued expansion of the scale of securities investment funds and the deepening of the direct and indirect impact of securities investment funds'investment behaviour on the stock market,it is particularly important to focus on the investment behaviors including herding behavior of Chinese securities funds.The paper used empirical testing and game analytical methods to analyse herd behaviour of China Securities Investment Funds , including the following two elements : 1) China Securities Investment Funds conducted an empirical analysis of herd behaviour; 2) Based on feedback model to conduct game analysis of securities investment funds.Firstly, it dealed with the comprehensive analysis of some achievements in the study of herding behavior theory, and domestic and foreign scholars in recent years to the herd behaviour theory, models, the results of research carried out systematically reviewed.Secondly, it furtherly clarified the concept and features of securities investment funds, an analysised of China's securities investment funds. China's securities investment funds established later, the Funds'nature, size and operating methods of management are very similar. They competed with each other for the same clients and cross-referenced with each other as their level of performance evaluation benchmarks, together with an emerging market adapted from the planned economy, China's securities markets and the frequent intervention of a policy to individual investors as information asymmetries serious, widespread speculation characteristics, created an environment suitable for herd behavior.Then, it used the LSV model to do some empirical study of fifty-four closed-end funds in China market dated from January 2003 to December 2005, and found distinct herding effect in general. And also, the same herding effects were found more prominent in some hot industries. At the same time, we found an interesting conclusion : the herd behaviour of funds at the time of selling stock more than buying. In addition, compared with an average instance, the herd behavior of funds was more obvious in some popular industry stocks . Finally it analysed how to lead to the emergence of funds herd behaviour.