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Behavior Research And Empirical Test Of Herd Effect In China's Securities Investment Fund

Posted on:2012-08-26Degree:MasterType:Thesis
Country:ChinaCandidate:Z X GuoFull Text:PDF
GTID:2219330368477068Subject:Financial and trade e-commerce
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In 1968 the overseas and the colony government trust organization which was set up by the British government is the recognition earliest fund organization, by primarily dispersing the investment in the overseas colony corporation loan, it invested the region to spread the whole world. The securities investment fund which develops quite short in our country, but as a result of the negotiable securities supervision organization's prop vigorously, it has obtained progresses by leaps and bounds in several years, Until September 2010, our country had 61 fund management corporate which management 997 securities investment funds, and presented the fund companies which managed funds scale to surpass a hundred million Yuan for the first time in 2007. The fund variety already developed from initial primarily by the close-ended fund to the present by the open-end fund primarily, The fund type developed from primarily the stock to the stock fund, the bond fund, the mixed fund, the money-market fund, the index fund, the suffering no loss of capital fund as well as ETF (exchange transaction fund) and LOF (goes on the market open-end fund) where many kinds of fund varieties coexistent in such multiplication fund market. The securities investment fund has characteristics, such as setting investment, spreading loss and specialized managing finances, and it is regarded as one kind of low risk, high income investment tool by the general investors, also expands the investing channel for the young investor, so it becomes noticeable investment strength in our country stock market.The theorists mainly divide into two big factions to explain the Herd Behaviors in securities investment at present, one faction from the behavior finance theory's angle, dividing two aspects which contain the individual non-rationality and the community non-rationality to explain the Herd Behaviors. Another faction rests on the classical financial theory, under the rational frame it divides into the Herd Behaviors based on the information series connected Herd Behaviors, based on the prestige Herd Behaviors and based on the reward Herd Behaviors, which separately analyze to the origin, the characteristic and the infection. This article synthetically utilizes behavior finance theory and the classical financial theory to analyze herd behaviors of the securities investment fund.The herd behavior can explain an phenomenon of stock market's unusual fluctuation, whether the securities investment fund effect the market stabilization or not, the theorists have a big view points that the fund promoted the stock market unusual fluctuation not to effect the stock market's stability; Another opposite view points that the fund can effect the market stabilization, which is also every country's goal to develop the securities investment fund vigorously. This article innovatively analyzes the herd behavior in the securities investment fund to use the evolved gambling theory. The evolved game theory takes the person's community as the object of study, and its core is to duplicate the tendency. According to the concrete cases to establish the gambling model, both sides continually readjust own strategy to achieve evolution gambling to be balance finally. This gambling model's precondition is that the market is at the division condition, the information's asymmetrical definitely because a part of investors to obtain the information first, the investors who hold the information discovered exposing would obtain the superior earnings, and then they will continue to divulge the strategy. The investors whose information inferiority discovered to trust can enhance own income, so this part of investors will continue to follow. These two kinds of investor mutually influence to achieve the equilibrium state finally.The fund managers have the property authority, but do not have the right to own the capital, the fund manager and the investors belong to the request-proxy, the investment behavior is not take the property increment as a goal, but make the rewards and the reputations maximization causing by own achievement place. Supposed that there have the datum investors in the market, who regard the individual rewards and prestige, independent judgment have the bigger negative influence than following the datum investor's strategy. Therefore, the funds managers all choose to follow the datum investor's investment decision, the herd effect based on prestige and reward product. Moreover, information excavation cost also causes a part of young investors to give up unearthing the information to follow the big institutional investor, the herd effect based on following the information product.The real diagnosis aspect, this article selects the public fund quarterly report in Shanghai and Shenzhen stock exchange institute websites in the year 2004-2008, the purpose to choose this period is it experienced the bull market and the bear market separately, so the real diagnosis examination has the representation. This article uses the LSV method to carry on the real diagnosis examination, the LSV formula:Each stock's Hj,t=|Pj,t-E(Pji,t)|, according to the H value we can judge the herd behavior degree. This article not only carries on the herd behavior examination in integrity to Shanghai and Shenzhen's funds, besides, it also carries on the examination separately according to the target-the fund's participating percentage and the circulation scale size. The check result indicate: The securities investment funds has the whole remarkable herd effect in our country, and the smaller of the stocks'circulation scale, the stronger of the uniformity in business's transaction, so the herd behavior degree is higher. However, the herd behavior has no direct relation to the fund participating percentage.Generally speaking, This article analyses the herd effect of securities investment fund, first from three aspects-the herd behavior's concept, the characteristic and the stock market's influence introduces herd behavior theory, its inherent hooplas, pointed, vulnerability and so on, which showed securities investment fund's herd behavior is one kind of non-rational and following the crowd behavior in China. Then it carries on the gambling analysis to the investment behavior, extracts the gambling model's balanced solution and analyze, The result indicated the market information is incomplete which is one of roots of herd effect. Moreover, analyzing fund manager gambles policy-making to divide two kind of situations which is dynamic gambling and the static state gambles, in dynamic gambling, fund manager based on own prestige and reward, but individual investor based on the information excavation cost that causes the herd behavior, static gambling exists in many manager's gambling decisions-making, the gambling conclusion is the fund manager's herd behavior, although not necessarily the most superior in the whole, one kind of the phenomenon in information following, actually individual rational choice. The herd behavior can only attenuate but not be avoidance. Domestic and foreign has four kinds of targets to examine the herd effect, namely: the LSV method, the PCM method, the CH method, the CSAD method, this article utilizes the LSV method to carry on the empirical analysis, the check result is that the securities investment fund's herd behavior is very remarkable in China, and has some own characteristics. On the stocks which the participation degree is higher, the fund's herd behavior is more remarkable. Once one or several funds appear underselling, chain-reaction will initiate so that seriously sells herd behavior will appear, therefore count many two group of funds in the fund participation to selling herd behavior to buying up herd behavior to be more serious.The policy factor, the transaction institutional arrangements, the sources of information hasten and the investment funds industry development cause the supply and demand unbalanced in the short-term, these are the external reason of herd effect, the fund management company's achievements examination system, the fund manager's prestige, the reward restriction and the negotiable securities investor lacking the rich specialized knowledge, which are the immanent reason of herd behavior. The herd effect easily to make "pursues rises kills falls" the panic aspect, the stabilization of market function not to fully display, this article proposes the countermeasure to attenuate herd behavior in securities investment fund from seven aspects, Namely:(1) enhances the policy's transparency; (2) open market admittance, introduction different institutional investor by chance; (3) strengthens the fund contract to force the fund binding, explicit the investment style of the fund; (4) optimizes the fund management company's investment management flow; (5) consummates examination method to the securities investment fund; (6) strengthens education to the investor, improves the investor's quality; (7) positively and safely advances finance innovation.This article mainly has the following innovations:(1) objects of studying are innovation:The former herd effect's research is generally about the Stock market, this article transforms this kind of research mentality to the securities investment fund; (2) research techniques are innovation:The evolved game theory and the econometrics unify; (3) the striation is innovation. The article uses fundamental research and real diagnosis examination union method, and in real diagnosis, it contrasts the real diagnosis result using different test rating to carry, summarizes the reasons causes herd effect by securities investment fund in our country, putting improvement proposals.
Keywords/Search Tags:Securities investment fund, herd effect, evolved game theory, Gambling model, LSV
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