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本文以2004年底至2012年第二季度我国开放式基金季度股票交易数据为研究样本,采用Sias(2004)提出的跨期交易模型对我国开放式基金羊群行为进行测度,结果表明:(1)我国开放式基金存在着显著的羊群行为;(2)羊群行为与上市公司股票市值相关,在交易高市值和低市值公司股票时,羊群行为尤其显著;(3)我国开放式基金对不同行业上市公司投资时表现出的羊群行为存在明显的差别。
Taking the quarterly exchange-traded data of China’s open-end funds from the end of 2004 to the second quarter of 2012 as the research sample, this paper uses the intertemporal trading model proposed by Sias (2004) to measure the herd behavior of Chinese open-end funds. The results show that: (1) (2) herd behavior is related to the market capitalization of listed companies, herd behavior is particularly significant when dealing with high market value and low market value of company stocks; (3) China’s open-ended fund pairs There are obvious differences in herd behavior when investing in different industries listed companies.