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Herd Behavior Simulation Of China Securities Investment Fund

Posted on:2017-10-29Degree:MasterType:Thesis
Country:ChinaCandidate:S T ShaoFull Text:PDF
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In recent years,with gradually in-depth study of financial market,herd behavior has increasingly become one of the focuses of people attention.As a behavioral finance research focus,theoretical and empirical research of herd behavior has made a rapid development.Firstly,the article clarifies the concept of herd behavior.and then according to its actors divides herd behavior into individual investors herd behavior and institutional investors herd behavior.We found that many researches of scholars show that institutional investors herd behavior is more obvious than individual investors herd behavior,Institutional investors herd behavior caused an overreaction on the market price and lead to price bubbles and market volatility.So,in this article we pay attention to Institutional investors herd behavior.We found that there are many titles of institutional investors herd behavior.But here we referred to it as herding behavior of investment funds.Firstly,we describe the most classical definition of investment fund herd behavior which was introduced by Lakonishok,and we introduced a brief description of the formation mechanism.Here,we focus on the information flow model proposed by Banerjee.Many articles study the investment fund herd behavior with traditional econometric models,so we describe three models of investment fund herd behavior and make a brief evaluation to its adaptability and insufficiency.Finally,this paper presents a complex network research method to study the investment fund herd behavior.This paper makes a simple descriptive statistics on fund complex network in the view of complex network.Then we introduced the definition of fund herd behavior combined with the distribution of fund complex network.This paper presents three types of complex network and the distribution of the scale-free network,and makes a simulation of the formation mechanism of fund herd behavior.Then,we want to further study the formation mechanism of fund herd behavior,so we incorporate two variables:Information heterogeneity and Information dissemination rate.This paper concluded that we can inhibition fund herd behavior by enhancing information heterogeneity and Information dissemination rate.In order to reveal the deep dynamic evolution of fund complex network,we introduce the classic SIR model.The results of simulation show that when the propagation velocity is greater than the dissemination of critical value,the herd behavior in the fund will spread diffusion network.On the other hand,it is hard to spread,and it will converge its transmission range and disappear.Finally,we state some inspiration and the lack of this research and raise the prospect of future studies.
Keywords/Search Tags:Fund herd behavior, Scale-free network, SIR model
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