| The traditional financial theory involves two very important assumptions, first, market efficiency hypothesis, the second is about the person's "full rationality" assumption. Many studies from the theoretical and empirical support for the hypothesis again and again the establishment of efficient market hypothesis as many scholars acknowledged the truth. However, in recent decades the world's financial practices study found that there are a variety of financial markets and confusing anomalies of the Department, the options smile, the mystery bonus, herd behavior in markets such as vision, all of the efficient market theory a serious challenge. One of the important vision is to herd behavior in financial markets.The herd behavior of financial markets is due to take certain other investors, the impact of investment strategy adopt the same investment strategy, investors have to imitate each other, follow the decision-making, rather than based on their own information. It is difficult to establish in the "rational man" assumption based on the traditional financial theory a reasonable explanation. The birth of behavioral finance research for the herd behavior of the paths which open up, herd behavior of modern behavioral finance has become an important branch of science.According to current theories of the interpretation of herd behavior sector is divided into two factions, one group based on classical finance theory, in the framework of rational herd behavior will be divided into information-based series of herd behavior, based on principal-agent of the herd behavior and information-based outside of herd behavior, respectively, of its causes, characteristics and impact analysis; are those who absorbed the behavioral finance theory, from the individual non-rational and irrational groups,two aspects of herd behavior is explained. An Empirical Study of Herding Behavior There are two main directions:First, price dispersion as an indicator to study the price fluctuations in the stock market as a whole, when the existence of herd behavior, or by mutual funds, pension funds and other investors in a specific type of target, through the Analysis of changes in their portfolios and trading information to determine the existence of herd behaviorThe phenomenon of institutional investors in the securities market is a national securities market, the universal law of development, the traditional view is that institutional investors are more rational investors,institutional investors increase the proportion in the stock market will help the stock market stability, improved social efficiency. But for those who reason in terms of maturity of the securities investment funds, the existence of herd behavior and to what extent, these problems have not been a clear answer. Securities Investment Fund Herding Behavior refers to the number of investment funds, mutual imitation, on the same or similar kinds of investments in securities to adopt the same trading strategy, that is, a number of different investment funds at the same time to buy or sell the same kinds of securities. If the number of investment funds to imitate each other at the same time to buy or sell the same kinds of securities, will be the impact on stock prices, while affecting the securities market's stability.Herding behavior of our country is still very short of time, regardless of theoretical research or empirical studies, mostly to the West has been the introduction of the theory, innovative research little. Chinese scholars in the areas of research focused on Securities Investment Fund Herding Behavior of empirical research, and herd behavior of stock prices, several aspects of the causes of herd behavior.November 14,1997, the State Council Securities and Exchange Commission promulgated the "Interim Measures for Securities Investment Fund Management", the same year the central bank, China Securities Regulatory Commission, Ministry of Finance, the State Administration of Taxation and so on successively published more than 20 laws and regulations, to inform.Concerning the Fund's organizational system, the market system to monitor various aspects of the system, bringing China's securities investment fund market has entered a law norms, cautious, high-speed development stage.Fund increased from the initial five to today's more than 538, with securities investment funds, the total size of 2.26 trillion, of which the size of open-end fund assets accounted for 95.31%, closed-end funds accounted for 4.69%.In particular, open-end funds in recent years been rapid development, have initially shown that the enhanced fund-raising function of the stock market and promote the positive role of financial system reform.Meanwhile, China's stock market due to inherent deficiencies in the system of information monopoly, lack of diversification of fund choices to meet different investment needs, there are still channels of information on the poor situation, the lack of a neutral and objective third are to provide advisory services, the nature of the fund size and management operating style is very similar characteristics such as investment style similar to other factors, makes the operation of securities investment funds with the expected functional orientation produced a certain degree of bias.As in 2003 the scale of China's growing securities investment funds, in particular the rapid development of equity funds, as institutional investors, represented by the influence of the securities market increasingly prominent, research study between the securities investment funds, whether the herd line arguments have become increasingly important. In view of this, this paper attempts the analysis of herd behavior of securities investment funds on the basis of relevant theories on China's Securities Investment Fund Herding Behavior of the existence of an empirical study concludes that China's securities investment funds, there are significant herd behavior of conclusion, while analysis of China's Securities Investment Funds Herding Behavior manifestations, mainly for the convergence of investment philosophy, investment style similar to a high degree of ownership concentration, the investment industry, concentrated in the finance and insurance industry. On this basis, this article on China's securities investment funds made a further cause of Herding Behavior thinking, and put forward on the control measures for investors and financial regulators such as herd behavior of economic entities should provide recommendations with a view to further promote the China's securities investment fund industry.This paper is divided into six parts. Chapter I Introduction and expounded China's Securities Investment Fund, Herding Behavior research background and research significance, introduced the idea of this research and the framework of the layout, indicating a major research paper.Chapter II herd behavior theory and empirical overview, this chapter points theoretical research and empirical research on the herding behavior of both undertook a review of relevant research data. Theory, research, introduced the concept of herd behavior, to analyze herd behavior, respectively, in series from the information point of view, principal-agent point of view, information, external point of view, etc. described herd behavior in financial markets the formation mechanism of the inner. Empirical research, introduced the study of the stock market as a whole herd behavior of an empirical model, Christie and Huang(1995) of the CH model and Chang, Cheng and Khorana (2000) of the CCK model, as well as research to institutional investors of the empirical method of herd behavior, Lakonishok, Shleifer, and Vishny (1992) of the LSV method,the modified LSV methods and Wermers (1995) of the PCM method. As well as the results of empirical studies at home and abroad were reviewed.ChapterⅢof the characteristics of China's securities investment funds, securities investment funds, first introduced the basic concepts and characteristics of securities investment funds to explore the role of the financial markets, and secondly, the China Securities Investment Fund for this specific object, and recalled the history of its development, in-depth description of and analysis of the status of the China Securities Investment Fund, the investment behavior and its essential features.ChapterⅣof the China Securities Investment Fund Herding Behavior empirical research is the core of this article, based on open-end fund shares in China's securities investment fund industry wide impact, choose 2008 128 open-end equity fund four quarters hold Unit details, the use of LSV modified model for China's stock market investment funds as a whole flock of sheep behavior and classification of empirical testing, the corresponding findings obtained:1) from the degree of herd behavior is concerned, between the securities investment fund significant herd behavior, far greater than the United States as the representative of the Western developed countries;2) from the acts of buying and selling sheep herding behavior, the fund bought the stock when the degree of herd behavior is less than in the sell the stock when the degree of herd behavior; 3) Number from the Fund's participation in the classification of test results, the Fund in all groups both demonstrated significant herd behavior, in the Fund's participation in family, the more the number of shares, sheep significantly higher level of behavior, and the fund to sell stocks when the herd behavior than buy stocks when the herd behavior, and in the Fund's participation in the number of smaller companies stocks,funds buy stocks when the degree of herd behavior than sell the stock when the herd behavior. Meanwhile, China's Securities Investment Fund Herding Behavior manifestations were analyzed.Data processing and computing mainly in EXCEL with VBA programming combination.ChapterⅤof the China Securities Investment Fund Herding Behavior Analysis and policy recommendations, respectively, from the securities investment fund itself, and China's securities market two different points of view to study the herd behavior of stock market investment funds, the formation of main reasons were as follows:Investment The Fund's own lack of professional quality, the Chinese securities market as an emerging market for itself, there are serious deficiencies in the system and structure of the disorders, the independence of fund managers the ability to think and reason the degradation caused by herd behavior of fund managers blindly. And the causes for these special securities investment funds from the external environment to improve and optimize the internal operation of securities investment funds, two aspects of the mechanism put forward some suggestions.ChapterⅥConclusions and summing up the main work papers and research findings, analysis of the limitations of this study and propose possible directions for further research... |
PDF Full Text Request