分析师荐股评级调整对我国基金羊群行为的影响

该文构建了基金羊群行为的度量指标,给出其检验基金羊群行为的理论依据。通过研究分析师荐股评级调整对我国基金羊群行为的影响,发现当分析师荐股评级上调时,基金买入该股票的羊群效应显现,反之存在基金卖出该股票的羊群效应。研究表明:分析师荐股评级上调或下调幅度越大,基金买入或卖出该股票的羊群行为程度越强烈;与分析师荐股评级上调相比,评级下调导致基金卖出对应股票的羊群效应更为强烈。这充分证实了基金经理具有职业顾虑,害怕独自承受失败的脆弱特征。该文发现:因分析师评级调整导致的基金羊群行为短期内会引起股票价格波动,加剧市场风险,而分析师评级调整对基金羊群行为,股票价格及其波动的影响将随时间推移而减弱。     

我国基金羊群行为:测度与影响因素

本文以1998年第1季度至2003年第4季度在沪深两市交易的94家基金的投资组合明细数据为样本,借鉴LSV思想构造新的羊群行为测度指标,探讨了我国基金投资者羊群行为的特征及其形成机制。研究发现:基金的羊群行为受到时间、季节、市场规模、基金规模、市场态势和基金盈利水平等因素的影响;羊群行为测度与基金盈利能力、基金/市场的相对规模等因素正相关;熊市中的羊群行为测度值大于牛市中的测度值;基金的羊群行为随着时间的进程没有显著改善,但每年的第2和第3季度是高发期。作者认为,基金在交易模式演变过程中产生的“代表性心理”,以及“心理阻抗”和“控制幻觉”加剧了羊群行为。     

机构投资者的羊群行为与中小市值企业的成长性——基于中小板和创业板市场的实证检验

本文实证研究了我国公募基金这类机构投资者的羊群行为与中小板、创业板上市股票成长性之间的关系,发现公募基金的买入羊群行为与中小市值企业的前向成长性和后向成长性都呈现显著的正相关关系,说明机构投资者的买入羊群行为具有挖掘高成长性股票价值、长期维持股票成长性的作用。但是其卖出羊群行为与中小市值企业的前向成长性呈现显著的正相关关系,而与后向成长性呈现较为显著的负相关关系,说明机构投资者卖出羊群行为的发生不利于中小市值企业维持未来的高成长性。我们结合我国中小板、创业板市场的发展现状,分析了造成这一现象的原因,认为目前中小板、创业板市场不完善的市场环境是背后的重要制约因素。     

证券投资基金持股与股价波动性关系的实证研究

对基金持投和股价波动性的关系进行了实证检验,结果表明,在市场看好的情况下,基金为了战胜市场偏好持有波动性较大的股票,并且基金增持股票会对股价波动性产生较大影响,而对减持股的影响较小;在市场看淡的情况下,基金为了规避风险选择持有波动性较小的股票,并且基金减持股票会对股价波动性产生较大影响,而对增持股票的影响较小。这些结论与基金的投资策略与羊群行为有关。     

羊群效应对股指波动率的影响分析

投资者行为对资本市场的稳定性影响是行为金融学关注的热点问题之一。本文以浦发银行股票为研究对象,首先,利用羊群行为的程度作为度量羊群行为的数量标准,通过建立ARCH模型,对浦发银行股票是否存在羊群效应进行统计检验,结果表明浦发银行股票存在显著的羊群效应。其次,通过建立线性回归模型分析了羊群行为对股票波动性的影响。实证研究表明,股票的羊群行为程度与股票指数波动率成正相关关系。     

我国证券投资基金羊群行为研究

本文以我国证券市场上的封闭式基金为样本,考察了在2010年度到2012年度第一季度这些基金的投资行为。本文主要采用国际上通用的LSV方法以及在此基础上改进的方法对我国证券投资基金是否存在羊群行为做出判断。通过研究我们发现我国封闭式证券投资基金与成熟金融市场相比存在比较明显的羊群行为,据此本文针对这些问题提出了一些建议。     

证券投资基金羊群行为的研究趋向

关于羊群行为的定义较多,不同的学者从不同的方面进行了界定.其本质特征是投资者买入或者卖出股票的交易行为不是对股票基本价值的反应,而是基于市场上其他投资者的交易行为.     

我国证券投资基金的羊群效应问题及对策

我国近十几年的证券投资基金发展迅速,但是市场的稳定性一般,股市波动很大,导致羊群行为甚为严重,而这种局面的出现有多方面的原因.文章以分析我国证券基金投资的羊群行为为主要研究内容,从原因及应对策略两方面着手,希望对羊群行为的规范及解决有一定的启示.     

反转效应、负反馈交易与股价波动——基于面板数据的开放式基金投资策略研究

本文利用2002年至2007年基金交易数据,从不同的市场状态、公司规模、买卖股票的基金数量和行业特征等层面深入分析了我国开放式基金的交易策略、影响基金交易策略的因素以及基金交易对于股市波动的影响。实证结果表明：我国开放式基金所投资的股票在中期内并不存在动量效应,相反存在显著的反转效应,基金的投资行为也表现出明显的负反馈交易策略;与前期股票的买入比率相比,股票的收益率以及收益率的波动对基金投资策略的影响更为明显;开放式基金前期的股票交易会加剧当期的股价波动。     

机构投资者羊群行为对市场的影响分析

中国机构投资者在投资过程中存在的羊群行为,这一行为对基金市场既有积极影响,也有消极影响.机构投资者羊群行为的产生因素很多,主要包括委托代理机制的内在缺陷、中国证券市场制度的不完善、基金的生存压力与基金经理人对于职业生涯的关注等等.     

我国股票市场羊群行为的实证分析

运用CSAD（横截面绝对收益率偏离度）指标对市场整体收益率进行回归的方法,对样本区间沪、深股市所有上市公司股票收盘价数据进行整体和分阶段的实证分析,发现在样本期间内,我国股票市场在整体上存在显著的羊群行为,并且羊群行为存在一个减少的趋势。从市场分组研究发现,在市场上涨情形下存在类似的羊群行为和类似的发展趋势,而在市场下跌情形下羊群行为呈现出不同的特征,存在一个由不显著到显著逐步递增的趋势。     

中小投资者羊群行为的多阶段模型探究

在中国的股票市场中,中小投资者虽是弱势群体,但其数量却占了股市投资者总数的大部分,其投资行为将直接决定着大盘走势和股票市场的波动情况。文章借鉴传染病模型,建立金融市场上中小投资者羊群行为的多阶段模型,就金融市场信息的不对称性与投资者的认知水平等影响金融市场上中小投资者羊群行为的阶段行为特征进行了深入分析,并有针对性地提出相关建议。     

合格境外机构投资者投资行为的实证分析

根据QFII每季度公布的投资组合数据,对其交易行为进行研究,结果发现:QFII存在正向反馈策略和"羊群行为",而已有的研究证明,正向反馈策略和"羊群行为"不利于股票市场稳定。因此,要注意加强对QFII投资的监管,尤其是QFII信息披露的监管。     

网络借贷中羊群效应的存在性、驱动机制与投资者投资效率*

本文探究了网络借贷中羊群效应的存在性、背后的驱动机制以及对投资者投资效率的影响。实证结果表明，在控制了标的流标风险和时间固定效应后，我国网络借贷投资者群体中存在显著的羊群效应。进一步，标的羊群效应程度与借款人信息以及投资者类型紧密相关，借款人的还款能力越低，参与投资的投资者风险厌恶程度越低，则该标的的羊群效应越显著，说明羊群效应是“风险厌恶程度较低的投资者期望通过模仿他人的投资选择来消除由于信息不对称带来的违约风险”造成的结果。最后，网络借贷中的羊群效应有利于提升投资者的投资效率，具体表现在羊群效应提高了投资者成功投资的概率，并且有助于投资者在低质量标的中将资金投资到潜在违约风险更低的标的之中。     

An empirical investigation of herding in the U.S. stock market

This paper proposes a new empirical testing method for detecting herding in stock markets. The traditional regression approach is extended to a vector autoregressive framework, in which the predictive power of squared index returns for the cross-sectional dispersion of equity returns is tested using a Granger causality test. Macroeconomic news announcements and the aggregate number of firm-level news items are treated as conditioning variables, while the average sentiment of firm-level news is treated as jointly determined. The testing algorithm allows the change points in the causal relationships between the cross-sectional dispersion of returns and squared index returns to be determined endogenously rather than being chosen arbitrarily a priori. Evidence of herding is detected in the constituent stocks of the Dow Jones Industrial Average at the onset of the subprime mortgage crisis, during the European debt and the U.S. debt-ceiling crises and the Chinese stock market crash of 2015. These results contrast with those obtained from the traditional methods where little evidence of herding is found in the US stock market.     

Herding on lottery-type stocks: evidence from the Chinese stock market

Previous studies have provided evidence that investors have gambling propensity in the stock market and exhibit a preference for lottery-type stocks. In this study, we use high total skewness and high maximum daily return (MAX) to measure lottery-type stocks and examine whether investors do exhibit distinct herding pattern in these stock types. Empirical results show that investors display stronger herding among lottery-type stocks, thereby indicating that such stocks induce correlated behaviour with the investors. In addition, we find that stocks with the highest skewness exhibit stronger herding under upmarkets, whereas stocks with the lowest skewness display stronger herding under downmarkets. Regarding the highest MAX portfolio, no significant herding asymmetry is seen between upmarket and downmarket. The results reported in this article demonstrate that comovement in stock returns may be partly attributed to the nonstandard preferences of investors in the stock market.     

Identifying the Transition from Efficient-Market to Herding Behavior: Using a Method from Econophysics

We test whether “detrended fluctuation analysis” (DFA)—an econophysics method—identifies the transition from efficient-market trading to herding behavior and the rise of the NASDAQ dot.com stock market bubble. DFA divides a time series into “segments” of varying lengths and then tests whether power-law distributions exist within the segments. A power-law distribution of stock-price changes within a segment indicates herding behavior and the start of the dot.com bubble. The clarity of the transition indication depends on both segment lengths and segment starting dates. Our findings show that DFA can be used to identify the beginning of stock-market bubbles but not the beginning of crashes.     

Investors’ fear and herding in the stock market

ABSTRACT

In this article, we examine herding in three developed stock markets testing for the impact of investors’ ‘fear’ on herding estimations. To this end, we employ daily data of all listed stocks from USA, UK and Germany from January 2004 to July 2014. We examine herd behaviour applying the cross-sectional dispersion approach. Moreover, we investigate the asymmetric herding behaviour under different market states and sub-periods. The stock markets under examination provide comparable implied volatility indices which are used as a proxy for fear. As a result, apart from the standard herding estimations within and across markets, we also augment the benchmark model with the fear indicator. Our empirical results document the statistically significant impact of fear on herding estimations. Moreover, there is evidence of cross market herding as well as evidence of herding in the UK during specific sub-periods.     

Re-examining the Chinese A-share herding behaviour with a Fama-French augmented seven-factor model

ABSTRACT

In view of the contradicting results in existing research, this article proposes a new weighted cross-sectional variance (WCSV) model to re-examine the level of herding behaviour in the Chinese A-share market. Motivated by the original WCSV model, we utilize a Fama-French augmented seven-factor model as the underlying Arbitrage Pricing Theory model, which introduces the trading volume and turnover rate factors to the Fama-French five-factor model. The regression results show the superiority of our new model compared to the WCSV model based on Fama-French three- and five-factor models, which implies that the empirical findings of herding with our WCSV model are more reliable in relative terms. In the empirical aspect, in addition to testing the herding level yearly and integrally, to provide further insight on the relationship between market stress and herding, we apply our model to the Chinese A-share herding behaviour within each of three well-known crisis periods. In addition, we also split the sub-samples into pre-crisis and post-crisis periods to detect the existence of asymmetric herding behaviour for different market directions. Our findings suggest that Chinese A-share herding behaviour is more prevalent during large market turmoil, especially under condition of down market.