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本文通过完整应用LSV与PCM方法,推导并建立动态衡量机构投资者羊群行为的一系列指标,对我国证券市场上的合格境外机构投资者与封闭式基金的羊群行为度进行实证检验,并对实证结果进行比较分析。研究发现,上述两类机构投资者总体上有显著的且较为趋同的羊群行为,但他们在买和卖两个方面的羊群行为却表现出很大的差异,从而对稳定市场起到了不同的作用。
Through a complete application of the LSV and PCM methods, this paper deduces and establishes a series of indicators to dynamically measure the herd behavior of institutional investors, and empirically tests the herd behavior of qualified foreign institutional investors and closed-end funds in China’s securities market. The comparative analysis of empirical results. The study found that the above two types of institutional investors generally have significant and more convergent herding behavior, but their performance in the two aspects of buying and selling herd shows great differences, and thus the stability of the market has played a different Role.