An Empirical Research On The Herding Behavior Of Securities Investment Funds In China

It is a law that there are more and more intuitional investors in the securities market in different countries, but there is a controversy that the behaviors of the intuitional investor's transaction exert the influence on the stock prices. According to the seasonal investment portfolios of the securities investment fund at home, the paper uses Wermers and excess demand indexes of herd behavior to analyze herd behavior of the securities investment fund empirically. And on the basis of the above mentioned, the paper analyzes the corresponding stock datum in the regression method. At last, the paper uses the group comparative method to analyze the feedback transaction strategy of the securities investment fund and how the transactional behaviors of the securities investment fund affect the stock prices.The conclusions of the paper are as follows: (1) there is serious herd behavior in China's securities investment fund; (2) the Wermers buyers' herd behavior is more severe than the Wermers sellers' herd behavior, that's when the securities investment fund buys in, herd behavior tends to happen more easily, compared to the excess demand index; (3) herd behavior of the securities investment fund correlates positively with the circulated market value; (4) the buyer's herd behavior correlates positively with the stock volatility , but the seller's herd behavior correlates negatively with the stock volatility; (5)the Wermers buyers' herd behavior correlates positively with every stock reserve, but the excess demand buyers' herd behavior correlates negatively with every stock reserve; (6)the securities investment fund managers use the positive feedback transaction strategy when they buy and sell the stocks; (7)the behavior of the securities investment fund affects more obviously of the moment than next phase, that is the securities investment fund can't stabilize the securities market.According to the empirical conclusions and reason research, the paper brings forward some relevant political advice and wishes them to reduce the herding behavior, administer the fund's operation, and perfect the securities market.