A Comparative Study on the Herd Behavior of Chinese Equity and Partial Equity Hybrid Funds-Empirical Analysis Based on Market Fluctuations

Abstract

This paper uses the LSV model and the VOL volatility index, as well as the quarterly position data of equity funds and partial equity hybrid funds from the first quarter of 2007 to the fourth quarter of 2019 to conduct an empirical study on the herd behavior of both kinds of funds. Then establish a connection with the volatility of the Shanghai Stock Exchange over the same period. The results show that the overall trend of herd behavior between equity funds and partial equity hybrid funds is almost completely opposite. Equity funds have a stronger herd behavior in buying, while partial equity hybrid funds have a stronger herd behavior in selling. Meanwhile, when the volatility of the Shanghai Composite Index increased significantly, the herd behavior in selling both increased.