China Securities Investment Fund Investment Behavior

The research of the public-raised funds behavioral is based on the specified circumstance, such as the institution and the efficient level of the market. On the one hand, the institution define and limit the collection of the funds; on the other hand, the efficient level of the market will affect the behaviror of the fund in the aspect of the strage and the exchange matches. Different from the gradual progress leaded by market, the China's public-raised funds institution is leaded by the government in order to gather the capital as much as the possible for the security market. The core of the public-raised fund institution is that the state monoply the proper right, which change the invest goal of the fund from the maximizing the yeild of the investor into the maximizing the benefit of the management company of the fund. Because of the feature of transitional and developing,as well as the borned institution default, The market is intervened by government irregularly, and was developing with the small market scale, the less security kind, the single structure of the product and the level, the delayed development of derived financial instrument, and the large amount of the noise traders.The attitute to risk is the very important factor which affect the choice of the investor. In the normal financial theory, the function of the risk attitute is concave. However, in fact, several emotions operate on the willingness to take risk, such as the hope,fear,aspriation level, etc. The risk function will not be certain. As the Institutional Investor, the fund has the procedure to overcome their manager's emotion during trade, so the aspiration level is the main fator which determain the risk they would like to take. For China's public-raised fund,that is the management company's aspiration. Meanwhile,the investor's focus on short horizon investment cause the fund's manager's short investment horizons by redemption.Take the strage based on value and steadylize the security market is the fund's mission exerted by government. But it's difficult for fund to earn the extra profit by trading on information with the noise trader. We find that positive feedback strage and the centralize strage is popular in fund's trade. Forthurmore,we analysis the mechanism of the fund's behavoir, we find that in China's security market,the eqilibrium route is out of the sole, which limit the apply of the analysis tools. In order to manage the risk, the fund's portfolio is selected by two steps, the first is building the stock pool, and the second is choosing the best portfolio. At the first step, the marginal cost is the key factor necessary to be concerned, what will be sellected are the large scale blue chips. At the second step, the fund take the opportunity to change their portfolios. The fund only has the short time utility function, and the utility function are different when the market is upward or downward.In order to fulfil the invest goal, the manager assign the capital between two mental account, one is the compare index, and the other is the maximal of the scale. At the bull market, the latter account will be put to full.The empirical finds several anomalies, such as overreaction, mental account,herd behavior and the bewildering games of the fund company. These anomalies are dued to the duplicate criteria for stock selection,the application of the positive feedback strage,multiple invest goals, and the corporate governance of the fund.Finally, we maesure the impact of the action of the fund in the respact of market pricing, the expect yield and the steadiling function. We find that the behavior of the fund contribute large to the revalue the large scale blue chips, but little to expecting the stock's future yeild or steadylizing the market.