基于ARCH模型的我国A股市场羊群行为实证研究

【作者】 罗华；

【导师】 姚铮；

【作者基本信息】 浙江大学 ， 企业管理， 2003， 硕士

【摘要】 证券市场中的“羊群行为”(Herd Behavior)是一种特殊的非理性行为，我们把它定义为投资者在信息环境不确定的情况下，行为受到其他投资者的影响，模仿他人决策，或者过度依赖于舆论(即市场中的压倒多数的观念)，而不考虑自己的信息的行为。 由于羊群行为涉及多个投资主体的相关性行为，对于市场的稳定性、效率有很大影响，也和金融危机有密切的关系。因此，对于羊群行为的研究引起了学术界和政府监管部门的广泛关注。 本文运用计量经济学中的ARCH模型方法，建立了一个能较为敏感的捕捉到羊群行为信号的具有异方差特性的自回归模型，以上证180指数样本股为研究样本，通过检验个股截面收益的绝对偏差(CSAD)与市场组合收益的非线性关系，来判断我国股市羊群行为是否显著，通过实证分析，我们发现，无论是市场上涨阶段还是下跌阶段，我国股市都存在一定的羊群行为，同时，本文通过比较分析，对实证结果进行深入的剖析，对羊群行为的形成原因进行简要的分析，并对如何控制羊群行为提出了一些政策性建议。更多还原

【Abstract】 " Herd behavior " in the securities market is a kind of special irrational behavior, and we define it is a kind of behavior in a situation that the environment of the information is uncertain, the behavior is influenced by other investors, imitating others and making policy, or depending on the public opinion excessively (namely the idea of the overwhelming majority in the market), without considering one’s own information.Because the herd behavior involves relevant acts of different investors, it has very heavy influence on the stability and efficiency of the securities market. Otherwise, there are close relations with the financial crisis too. So, it has caused the academia and government to take the extensive attention to the research of the herd behavior.This paper uses ARCH model method in econometrics to set up an auto-regression model with different variance characteristic, which catches to the signal of herd behavior that can be comparatively sensitive. Basing on the sample stocks of the Index 180 of SSE for studying sample, author conduct empirical tests on the non-linear relations between CSAD (Cross-Sectional Absolute Deviation of returns) and the market returns to judge whether the herd behavior in the stock market of China is remarkable. According to the empirical analysis, author finds, both in the up-market and down-market, certain herd behavior exist on the stock market of our country. Besides, this paper carries on the deep analysis to the result of empirical evidence through comparative analysis, and carries on brief analysis to some simple reasons of the herd behavior. As a result, some suggestions are proposed to how to control the herd behavior.更多还原