关于QFII投资羊群效应的实证分析
Empirical Analysis of Herd Behavior forQFII
作者: 张 洋 , 金 辉 :杭州电子科技大学经济学院,浙江 杭州;
关键词: QFII; 羊群效应; LSV模型; PCM模型; 时间因素; QFII; Herd Behavior; LSV Model; PCM Model; Time Factor
摘要:Abstract: Using the holding position details of QFII in the top ten tradable A-share market listed companies as samples from the first quarter of 2004 to the third quarter of 2014, the degrees of herd behavior of QFII are measured by using LSV model and PCM model combined with time dimension to determine whether there exit herd effects in Chinese securities market. In the meantime, to compare QFII herd behavior of different periods dynamically, the QFII herd behavior characteristics are analyzed during the period of the stock market prices soaring and falling. The result shows that QFII has significant herd behaviors in investment process in Chinese securities market, and its trading behavior does not follow the concept of value investing. When the stock market prices soar and fall, the herd behaviors will be more significant. With the stock market booming, QFII reflects a buyer herd behavior; while with the stock market crashing, QFII reflects a seller herd behavior.
文章引用: 张 洋 , 金 辉 (2015) 关于QFII投资羊群效应的实证分析。 金融, 5, 64-72. doi: 10.12677/FIN.2015.54009
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