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An Empirical Study on Investors’ Irrational Behavior in China Fund Market

Author: ZhangLei
Tutor: YaoFengGe
School: Harbin University of Commerce
Course: Finance
Keywords: Investment fund market Irrational behavior Herd behavior Overconfidence Information cognitive biases
CLC: F224
Type: Master's thesis
Year: 2010
Downloads: 158
Quote: 0
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Abstract


Behavioral finance covering financial theory and psychology, sociological theory, departure from humanity to build a new analytical framework and basic concepts. Irrational behavior is a major field of study and direction of behavioral finance, the study of this phenomenon has universal significance. Investment fund market is the capital market. It has a common capital market, and also that of their own characteristics. The rise of the investment fund market in China compared to the stock market later date, the history of the development was only eleven years time, the institutional structure and organizational system has been in dynamic changes. Other capital markets, emerging markets also exist herding and loser winner effect financial vision, and investor behavior demonstrated very distinctive characteristics irrational. Thesis to the investment fund market in China as the background, its depth empirical study of the irrational behavior of investors. Papers starting from the connotation of irrational behavior defined in three dimensions summarized representative of the non-rational behavior, that is, the group psychological bias caused by the non-rational behavior system deviation caused irrational behavior and cognitive bias caused by the non- rational behavior, and explain the irrational behavior from a psychological point of view. In-depth analysis of the paper through the analysis on the Review of the Development of China's investment fund market and the status quo, summarized the generality of the special nature of the investment fund market in China, based on the typical characteristics of the non-rational behavior, the proposed investment fund market in China irrationality peculiar investors. Changes in daily trading volume data in the empirical part of the thesis behavioral finance fractal market theory and the theory of wavelet analysis, cluster analysis method, the investment fund market in China, the investors in the fund market sell Fund herd behavior in the share of the action in the empirical test; yield indicators in the basis of the above results, the paper, the use of the method of analysis of variance, an empirical test inspection and investment funds market investor overconfidence behavior; the paper empirical test first The three-part analysis of the irrational behavior of investors in the investment fund market caused by cognitive biases, the analysis is divided into three steps. First, wavelet analysis theory irrational behavior of noise timing of sample data yields on Chinese investment fund market timing extract, and is divided into three timing stationary test respectively. Then, the application of two different methods and models of the irrational behavior of the different levels of noise timing of long memory test, the R / S analysis and ARFIMA model. Finally, the impulse response function analysis of the impact of the irrational behavior of the different levels of investment fund market. Through research, investor herding on the investment fund market in China is very obvious; presence of overconfidence; different cognitive biases caused by the irrational behavior of different forms; different cognitive biases caused by irrational behavior has a different impact on the investment fund market. Combined with empirical Conclusion targeted suggestions.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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