Abstract
The securities investment fund is the largest investor in China, and its herding has an important impact on the securities market. This article takes the seasonal data of the open-end fund from the 1st season in 2010 to the 4th season in 2013 as the sample and uses the corrected LSV model to make an empirical inspection for the herding in Chinese securities investment fund. The result shows that there’s a serious herding in Chinese securities investment fund. It is found from the further research that the herding degree has a positive correlation with the securities market fluctuation, so it intensifies the fluctuation in the securities market.
Highlights
From early 1990s, China started to explore and experience the securities investment fund
Make a relevance analysis by inputting the yield rates and overall herding degree data for the Shanghai composite index and the Shenzhen component index in each season into Matlab software, and the result is shown as follows, among which Y1 refers to the yield rate of Shanghai composite index, Y2 the yield rate of Shenzhen component index and HM the overall herding degree: As shown in the above table, the herding in securities investment fund has a positive correlation with the market fluctuation, and it's very obvious
01018-p.6 as the research objectives to make an empirical inspection for the herding in Chinese securities investment fund
Summary
From early 1990s, China started to explore and experience the securities investment fund. Many scholar used the LSV method to measure the herding of Chinese securities investment fund in different periods. This article will use the latest market data to make an empirical research on the herding in the securities investment fund. Its principle is to compare the average transaction probability of the fund to a set of stocks with the average transaction probability of the fund to the same set of stocks if there’s no herding, it discovered the mutual imitation degree of fund when it is in a transaction This measurement is to inspect the relevance of transaction behavior of securities investment fund with the trend of selling the same stocks. Classify the stocks and transaction direction for each fund in each season and list the number of their buyer funds B (i, t) and seller funds S (i, t)
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