CAJ | 학술논문

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。
본문이1998년제1계도지2003년제4계도재호심량시교역적94가기금적투자조합명세수거위양본，차감LSV사상구조신적양군행위측도지표，탐토료아국기금투자자양군행위적특정급기형성궤제。연구발현：기금적양군행위수도시간、계절、시장규모、기금규모、시장태세화기금영이수평등인소적영향；양군행위측도여기금영리능력、기금／시장적상대규모등인소정상관；웅시중적양군행위측도치대우우시중적측도치；기금적양군행위수착시간적진정몰유현저개선。단매년적제2화제3계도시고발기。작자인위，기금재교역모식연변과정중산생적“대표성심리”，이급“심리조항”화“공제환각”가극료양군행위。
This article uses the detailed portfolio sample data of 94 funds traded at Shanghai Stock Exchange and Shenzhen Stock Exchange from the first quarter of 1998 to the fourth quarter of 2003, and finds new measurement index of herd behavior in view of LSV thinking, so as to discuss the characteristics and the formation mechanism of funds investors＇ herd behavior in China. We find that funds＇ herd behavior is influenced by time, season, market size, funds＇ size, market trends and funds＇ profitability, etc. The measurement of herd behavior is positively related to funds＇ profitability, funds＇ size, and market size, etc. The measure -value of herd behavior at the bear market is higher than that at the bull market. Funds＇ herd behavior does not change obviously each year, but it reaches some summit in the second quarter and the third quarter. We hold that such behavior is intensified by the＂representative psychology＂, ＂psychological resistance＂and＂illusion of control＂emerging at the evolution process of funds＇ trading mode.