关于QFII投资羊群效应的实证分析

Empirical Analysis of Herd Behavior forQFII

摘要: 以2004年第一季度到2014年第三季度A股市场上的前十大流通股名单中QFII的持股明细数据为样本，采用LSV模型和PCM模型并引进时间维度，通过测量羊群行为度来判断QFII在我国证券市场上是否存在羊群效应。同时，动态地比较不同时期QFII的羊群行为度，分析我国在股市暴涨暴跌时期QFII羊群行为的特征。结果发现，QFII在我国证券市场的投资过程中具有明显的羊群效应，其交易行为不遵循价值投资的理念。在股市暴涨暴跌的时候，其羊群效应会更加显著。在股市暴涨的时候，QFII体现的是买方羊群行为，在股市暴跌的时候，QFII体现的是卖方羊群行为。

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.