主题投资策略中羊群行为的实证研究

Positive Analysis of Herd Behavior in Thematic Investment Strategy

中文关键词:  羊群行为  主题投资  兴趣传染

英文关键词:herd behavior  thematic investment  interest contagion

中文摘要:

      基于shiller兴趣传染模型的羊群成因理论,对主题投资策略中羊群行为产生的可能性进行了分析,并利用中国A股市场2006年以来的四个热点投资主题作为样本,验证了主题投资中存在的羊群效应。初步发现主体投资中的羊群行为在时间上和证券研究机构对投资主题的发布和宣传存在着对应的关系,这种关系更进一步地验证了shiller羊群行为成因理论的结论。

英文摘要:

      Based on Shiller's Interest-Contagion Model, an analysis is made on the possibility of herd behavior in thematic investment strategy. Using the four sampling hot themes on China's A-stock market since 2006, it proves the presence of herd behavior in the thematic investment. It preliminarily finds a corresponding relationship in time between the herd behavior in thematic investment and the release and publicity of the investment themes by securities research institutions. Such relationship further validates Shiller's theory of herd behavior formation.