摘要
本文在个体投资者层次对基金赎回中的羊群效应进行了系统研究。通过建立Cox比例风险模型,本文发现在面对相同的风险和收益时,投资者看到更多人赎回基金,自己赎回基金的概率会提升,因此羊群效应存在。此外,本文研究了股票型基金投资者与混合型基金投资者在赎回行为中的差异。结果发现股票型基金投资者比混合型基金投资者表现出更强的羊群效应。
This paper studies the herding effect inth e mutual fund redemption at the individual investor level.By building Cox proportional hazard model,it is found that when facing the same past return and risk,investors will be more likely to redemption,if they see more redemption by others.So the herding effect exists in China.Moreover,by contrasting the redemption behavior of stock mutual funds’investors and that of mixed mutual funds’investors,it is found that the herding effect in stock mutual funds’investors is stronger than that in mixed mutual funds’investors.
出处
《特区经济》
北大核心
2010年第6期100-101,共2页
Special Zone Economy
关键词
羊群效应
COX比例风险模型
开放式基金
Herding Effect
Cox Proportional Hazard Model
Open-end Mutual Fund
