【作者】 李旭；

【导师】 周德群；

【作者基本信息】 南京航空航天大学 ， 企业管理， 2006， 硕士

【摘要】 羊群效应作为证券市场上的一种异常现象,可能会引发信息追涨、内幕消息得不到有效指示、股价的异常波动,甚至可能引发金融危机,对金融系统造成严重威胁。个体投资者是证券市场上的弱势群体,他们在市场中受到噪声的干扰,且由于自身条件的限制,在投资过程中容易放弃自己的观点,盲从权威或大多数人的行为,表现出跟随机构或别的投资者的非理性羊群效应。研究个体投资者羊群效应的非理性因素,明确羊群效应发生的机理,对投资者根据正确的信息,选择有价值的证券,以及有关部门制定相关的解决方案以防止信息追涨,引导证券市场健康发展具有重要的现实意义。本文将影响个体投资者羊群效应的非理性因素分为外部非理性因素噪声和内部非理性因素投资者的认知偏差。外部非理性因素主要研究了噪声的来源以及噪声与羊群效应的关系,并从换手率与羊群效应关系角度提出噪声引发羊群效应的假设,通过构建噪声情况下的羊群效应模型探讨了上涨情况下羊群效应发生的条件,论证了有关假设。内部非理性因素是个体投资者的认知行为偏差,主要表现为可得性偏差、确定性偏差、心理账户、后悔厌恶等10个方面。而投资意识淡薄、资金实力薄弱、投资规模较小、专业知识有限,文化程度不高,真实信息获取难度高等是个体投资者认知偏差产生的主要原因。在此基础上,论文采用DEMATEL方法分析了所有非理性因素之间的关系,研究发现噪声和过度反应是影响个体投资者羊群效应的最主要因素。依据此结论,构建了非理性因素条件下个体投资者的羊群效应模型。在模型中假设做市商风险中性且理性、知情投资者尤其是个人知情投资者为非理性,通过证券交易机制和贝叶斯学习过程以及建立非理性知情投资者的效用函数来建立非理性影响下的个体投资者羊群效应模型,得到不同情绪状态和对信息反应程度下个体投资者卖出羊群效应发生的条件。更多还原

【Abstract】 Herding which may be affect information tide, price fluctuation, and finance crisis seriously, is an abnormal situation in security markets. Individual investors are weak in the market. Because they are interfered with noise and they are restricted with asset, educational background and so on. They easily give up their decision-making and follow others. Concretely, they often follow institution investors and other individual investors, which form herding in security markets. Researching the irrational factors of herding impacting on the individual investors is propitious to definitude mechanism of herding and establish resolvents for the researchers on the one hand. On the other hand, investors can choose valuable securities according right information. Widely, government can make the securities price move in a certain range, which will lead security markets to healthy.This passage analyzes the irrational factors affecting on herding of the individual investors. It divides these factors into the external irrational factors and the inner firstly. The inner is noise and the external is the deviation of cognition and behavior. The external factors analyzes yearly turnover and combines with their herding existences of the main security markets in the world. It proposes the hypothesis that noise may be affect herding. Then We revise assumption conditions of the herding model containing noise on the bases of predecessor’s research and prove rationality of the hypothesis. The inner factors can be included into availability, confirmation bias, mental accounting, regret aversion etc.The reasons are light invests consciousness, weak fund strength, small investment scale, limited specialized knowledge and the difficulty in gaining real information .On this base, we get the relationship of all irrational factors with the help of the DEMATEL method. Simultaneously, we find that noise and excessive response are the most primary factors. We construct the herding model of the individual investors under the irrational condition. In the model, one supposition is that the negotiant is risk neutral and rational. The other supposition is that the investors especially individual investors who acquire real information are irrational. We found irrational herding model of individual investors with the securities transaction mechanism and Baye as well as the utility function of the information gainers. Finally,更多还原