【作者】 张宗强；

【导师】 伍??；

【作者基本信息】 青岛大学 ， 金融学， 2004， 硕士

【摘要】 证券市场的羊群行为是指投资者在证券投资中模仿其他投资者决策，在股票价格波动中追涨杀跌的行为。羊群行为现象一直是证券市场研究的一个重要课题，其理论模型主要有非理性羊群行为模型，如DSSW模型、兴趣传染模型；理性羊群行为模型，如信息串联模型、声誉模型、报酬模型、支付外部性模型等。 以上模型，不管是理性的还是非理性的，均没有过多论及投资者的效用函数构成。但是，投资者的效用函数是其决策的基础，其心理预期、情绪波动等均通过效用函数对其决策造成影响。因此本文结合中国股市实际情况，通过研究投资者的心理变动过程，亦即研究价格变动、心理波动与主观效用波动的关系来尝试确定其效用函数，力求真实刻划投资者在价格波动中的心理波动过程，从而在有限理性假设以及非线性框架下构建一个简单模型来说明羊群行为。在投资者效用函数构建中本文参考了行为金融、尤其是期望理论的相关研究成果。 其后，本文在回顾了LSV法、PCM法、CH法和CSAD法等羊群行为实证研究方法的基础上，运用CSAD法对上证180指数的样本股票进行了实证检验。实证结果表明，在样本期间(2002年7月1日至2003年12月31日)内，上证180指数股票呈现明显的羊群行为特征。 本文随后还借鉴了行为金融理论中关于“反应不足”与“反应过度”理论的研究，从理性投资者的角度，对基于羊群行为的投资策略，即惯性策略与反转策略的可行性进行了实证分析。结果表明，在相应的检验期内股票收益呈现一定的反转特征，而惯性特征不明显。 在我国现阶段，羊群行为的发生无助于市场效率的提高，是市场泡沫产生的重要原因，因此，羊群行为对我国股市的影响基本上是负面的。我国股市监管当局应当完善和规范上市公司的信息披露质量，加强交易所的制度建设和对投资者的素质教育，以减轻羊群行为之危害，促进市场效率。更多还原

【Abstract】 Herding behavior of the securities market means that the investor imitates others when making investment decisions. Herding has been an important research subject all the time. Its theoretical model includes: the irrational herding behavior model, such as DSSW model, Interest Contagion Model, and so on; the rational herding behavior model, such as Informational Cascades Model, reputation model, Compensation model, External Payoff Model, etc.However, the above-mentioned models do not pay much attention to the composition of investors’ utility function. In fact, investors’ utility function is the foundation to form their decision. In this paper we study the relations between the stock market price movement and investors’ psychology fluctuation to get some clues about investors’ psychological change patterns. Then we construct a simple model to explain the herding behavior under the assumption of bounded rationality and non-linear frames.Thereafter, we review the empirical research approach of herding behavior, such as LSV method, PCM method, CH method and CSAD method, etc. In this paper we adopt CSAD method to carry on empirical studies using the sample stocks of 180 indexes of Shanghai Stock Market. The result indicates, during the sample period (from July 1, 2002 to December 31,2003), 180 index stocks of Shanghai Stock Market present obvious herding behavior.By helps of the imder-reaction and over-reaction theory from behavioral finance, we take a research on the investment strategies based on herding behavior, that is, the momentum strategy and the contrary investment strategy. The result indicates that stock returns present certain characteristic of contrary investment during corresponding sample period, meanwhile the momentary characteristic is not obvious.The herding behavior is helpless to the improvement of market efficiency, especially in our country. Therefore, the impact of herding is basically negative. The stock market supervisors should take some measures to improve the information quality, to lighten the danger of herding behavior, and to promote market efficiency.Zhang Zongqiang (Finance) Directed by Wu Haihua更多还原