姓名：李雪娜
学号：34020051301037
联系方式：13696922947，hellomaggie1983@
主导师：陈国进教授
导师组成员：林海、方颖
论文题目：中国证券投资基金正反馈交易行为及其对股票收益动量影响的实证研究
Title：The Empirical Study on the Positive-Feedback Trading of Security Funds and its Impact on Stock Return Momentum in China Stock Market
李雪娜 主导师：陈国进教授
Li Xuena Main advisor: Prof. Chen Guojin
论文摘要：证券投资基金作为我国证券市场最大的机构投资者，其正反馈交易行为一直是学界研究的热点。目前对我国证券投资基金正反馈交易行为的研究主要集中在基金正反馈交易行为的存在性、正反馈交易行为对基金业绩的影响、以及基金正反馈交易行为对市场的影响三个方面。这些研究主要从两个角度展开，一是单只基金对所持股票的正反馈交易；二是整体基金对所有持股的正反馈交易。这些研究在分析基金的正反馈交易行为时，没有充分考虑股票受到正反馈交易程度的异质性。事实上，基金很可能对股票区别对待，采取不同强度的正反馈交易行为，因此本文从整体基金对单只股票的正反馈交易的新角度进行研究。
利用Shu(2007)提出的正反馈交易行为衡量指标和研究方法，本文首次系统地从整体基金对单只股票的正反馈交易的角度，研究中国整体证券投资基金的正反馈交易行为，并且全面地检验基金正反馈交易行为对股票收益动量的影响。这一研究有助于我们了解中国证券投资基金是否具有影响股票收益的能力，了解基金的正反馈交易行为是否会增加股票价格波动，这种波动是否在某种程度上增强了股票收益的动量。最后，本文对证券投资基金的正反馈交易行为是否提高或降低股票市场的效率进行初步探讨，这一初步探讨可以让我们了解中国证券投资基金是否如人们所期望的能够稳定市场，提高股票市场的效率，有着重要的现实意义。
本文以2002年第一季度至2007年第二季度中国证券投资基金重仓持有的股票为研究对象，进行实证分析。发现，整体证券投资基金对不同股票采取不同强度的正反馈交易行为；整体证券投资基金对所有股票平均来看采取显著的正反馈交易行为；证券投资基金在熊市的正反馈交易行为比牛市时更为强烈；证券投资基金倾向于对小规模、低账面市值比的股票进行正反馈交易；证券投资基金正反馈交易行为会显著增强股票收益动量，并且基金正反馈交易行为降低了股票市场的效率。
Abstract: Security funds are the largest institutional investors in China stock market. The positive-feedback trading of security funds has always been a heated topic in academic research. Up to now, the studies on China security funds’ positive-feedback trading are concentrated on three main fields, the existence of positive-feedback trading, the impact of security funds’ positive-feedback trading on funds’ performance and the influence of security funds’ positive-feedback trading on stock market. These researches are mainly conducted from two perspectives, the first one is to focus on the behavior of individual fund and the second one is to study security funds in aggregate. These researches treat stocks as homogeneous group. However, security funds may treat different stocks with different degree of positive-feedback trading.
Based on the positive-feedback trading measure and methodology proposed by Shu(2007), we analyze comprehensively the positive-feedback trading of security funds across individual stock and study the impact of security funds’ positive-feedback trading on stock return momentum in China stock market for the first time. This research helps us understand the role of security funds in China; especially whether security funds have the power of intensifying the stock return momentum. Finally, discussion on the impact of security funds’ positive-feedback trading on stock market efficiency promotes us to know whether institutions are capable of improving market efficiency while engaging in momentum trading.
In this paper, we choose stocks which are heavily held by security funds from the first quarter of 2002 to the second quarter of 2007 in China stock market as our sample and empirically analyze positive-feedback trading of security funds towards individual stock. We find security funds in aggregate indeed take positive-feedback trading in different degree towards different stocks and have more serious positive-feedback trading in bear market than in bull market. Finally, the positive-feedback trading of security funds in aggregate intensifies the stock return momentum, which hampers the efficiency of security market.
