中国基金业业绩持续性问题研究：基于羊群行为的分析

以2005～2010年上半年开放式股票型基金为样本,从羊群行为角度考量开放式股票型基金业绩持续性。结果表明,基金卖出股票羊群行为强于买入股票羊群行为,且没有证据表明我国基金有联手坐庄行为。相对于输者组合,赢者组合在卖出价格下跌股票时行为更加趋同,且受市场行情影响较小,这与其业绩压力和研究能力有关。

The Performance Persistence of Fund in China: Based on Herd Behavior

Taking open-end funds from 2005 to the first half year of 2010 as samples, the performance persistence of open-end fund has been researched from the perspective of herd behavior. The results indicate that herd behavior existing during stock selling is much stronger than what happened when buying, and there is no evidence that mutual funds colluded. When selling stock whose price is going down, last winners are much more homogeneous than last losers. People''s behaviors are much less affected by market condition.