创业板和深圳主板市场羊群效应的对比研究

发布时间：2018-04-11 03:24

本文选题：羊群效应 + 创业板　；参考：《江西财经大学》2013年硕士论文

【摘要】：资本市场上的羊群行为是一种非理性行为,它会影响市场的价格发现功能和资源配置功能,导致股票价格偏离其合理的价格,加剧股价的波动,不利于市场的稳定,因此研究资本市场的羊群效应具有重要意义。近年来,在我国的股票市场上,中小板市场和创业板市场越来越受到广泛的关注,政府更是大力地支持中小板市场和创业板市场的发展,明确提出要加快中小板市场和创业板市场的发展,增加中小企业直接融资规模。这主要归咎于中小企业通过银行等金融机构间接融资遇到较大的困难,中小板市场与创业板市场在解决中小企业融资难、构建中小企业金融支持体系方面发挥越来越重要的作用。羊群效应作为行为金融理论一个方面,会对股票市场价格产生影响,进而对中小企业融资产生影响,因此研究我国中小板市场和创业板市场的羊群效应对于中小板市场和创业板市场的发展具有重要的意义。对于创业板市场来说,一方面,我国主板市场成立较早,上市公司多为大型成熟企业,很大程度上能够反映经济发展状况,另一方面,中小板市场是为建立创业板市场做准备,只是创业板市场的过渡。因此研究创业板市场与主板市场的羊群效应更具有意义,通过研究这两个市场的羊群效应,能够更深层次地发现我国股票市场羊群效应产生的原因,能得出更有意义的结论。本文首先介绍国内外关于羊群效应方面研究的相关文献,国内外学者主要采用三种方法检验资本市场的羊群效应,即检验基金经理羊群效应的LSV方法,检验投资者之间羊群效应的CH方法和CCK方法。CH方法和CCK方法都是检验投资者之间羊群效应的方法,CH方法认为,当股市存在羊群效应时,个股收益率的横截面标准偏差CSSD随绝对市场收益率的增大而减小。但需要指出的是,要想使得个股收益率的横截面标准偏差CSSD随绝对市场收益率的增大而减小,只有当大部分的投资者都表现出强烈的羊群行为时才有可能。因此,CH模型只能检测到严重的羊群效应,往往难以检测到市场中存在的轻微的羊群效应,而CCK方法克服了这个缺陷,它采用横截面绝对偏离度CSAD来检验羊群效应,当市场中的羊群效应不严重时,横截面绝对偏离度CSAD依旧随着市场收益率的升降而增减但速率将减缓,即二者间会呈现出非线性关系。因此,CCK模型更能敏锐地捕捉到轻微的羊群行为。鉴于此,本文采用了CCK方法来检验我国创业板市场和深圳主板市场的羊群效应,此外,还采用了HS方法检验羊群效应的程度变化,当贝塔系数横截面离散度H_t出现显著减小时,则说明羊群效应的程度逐渐增强。我们以沪深300价格指数收益率作为市场收益率,以2010年7月5日到2012年1月6日为样本区间,并分为2010年7月5日到2010年11月5日的沪深300价格指数上涨阶段、2010年11月8日到2011年4月8日的沪深300价格指数调整阶段和2011年4月11日到2012年1月6日的沪深300价格指数下跌阶段,以分别检验上涨阶段和下跌阶段的羊群效应。在样本数据方面,选取RESSE金融研究数据库提供的样本区间开始的时点即2010年7月5日创业板价格指数成份股和深圳成份指数成份股的周收益率数据和日收益Beta240滚动数据,以及作为市场收益率的沪深300价格指数周收益率数据。其次通过CCK方法检验创业板和深圳主板市场是否存在羊群效应,即检验个股收益率相对于市场收益率的横截面绝对偏离度CSAD与市场收益率之间是否存在非线性关系,接着采用HS方法检验羊群效应的程度变化,结果表明在市场上涨阶段深圳主板市场和创业板市场中都存在羊群效应,而且两个市场随着市场指数的上涨,羊群效应程度在增强；在市场下跌阶段只有深圳主板市场存在羊群效应,而且羊群效应刚开始并无增强,其后突然大幅度增强,而后又逐渐减弱。最后对比分析创业板市场和深圳主板市场的羊群效应及其程度变化,主要有六个方面导致羊群效应的产生,分别是做空机制不健全、信息不对称、政策干预、基金经理的羊群行为、投资者行为的非理性以及技术分析面。针对这六个方面,为防止羊群效应带来的不良影响,本文给政府监管者和投资者提出一些建议。
[Abstract]:Herd behavior on the capital market is a non rational behavior, it will affect the market price discovery function and resource allocation function, causes the stock price deviate from its reasonable price, increasing the price fluctuations, is not conducive to the stability of the market, so the research has important significance of herding in the capital market. In recent years, in our country the stock market, small and medium-sized board market and the GEM market attracts more and more attention, the government is developing vigorously support the small and medium-sized board market and the GEM market, clearly put forward to accelerate the development of small and medium-sized board market and the GEM market, increase direct financing of small and medium-sized enterprises scale. This is mainly attributed to the small and medium-sized enterprises have greater the difficulty of indirect financing through banks and other financial institutions, small and medium-sized board market and the GEM market to solve the financing difficulties of SMEs, constructing the financial supporting system for SMEs has played more and more An important role. As a herding behavior finance theory, will have an impact on the stock market price, and the financing of small and medium-sized enterprises have an impact, so the herd effect study of small and medium-sized board market and the GEM market has important significance for the development of small and medium-sized board market and the GEM market for the GEM market. On the one hand, China's main market, set up earlier, listed companies are mostly large enterprises, largely reflecting the status of economic development, on the other hand, the small and medium-sized market is preparing for the establishment of the GEM market, but the transition of the GEM market. So the study of herding gem and the main board market is more through the research significance, the herding of the two markets, to further found the causes of herding of stock market in our country, can draw more meaningful conclusions.
This paper first introduces the relevant literatures on the study of herding herding both at home and abroad, scholars at home and abroad mainly adopts three kinds of methods to test the capital market, LSV method test fund manager herding, investors herding test between CH method and CCK method,.CH method and CCK method are the test between investors herding CH, argues that when there is herding in the stock market, stock returns increase cross-sectional standard deviation CSSD with the absolute market return rate decreases. But it should be noted that, in order to make a cross section of the standard deviation of CSSD yield with the increase of the absolute market return rate decreases, only when most of the investors have shown herd behavior when possible. Therefore, CH model can only detect herding is serious, often difficult to detect in the market slightly Herding, while the CCK method overcomes this defect, it uses cross-sectional absolute deviation of CSAD to test the herd when herding in the market is not serious, CSAD CSAD still with lifting market yields increased or decreased but the rate will slow down, which is between the two will be showing a linear relationship. Therefore, the CCK model can be more keen to capture the herding behavior of minor. In view of this, this paper uses CCK method to test the herding effect, China's GEM market and Shenzhen stock market in addition, also uses the HS method to test the change degree of herding, when the dispersion H_t beta cross-section significantly reduced then, the degree of herding effect gradually. Our price in Shanghai and Shenzhen 300 index return as the market rate of return from July 5, 2010 to January 6, 2012 as the sample interval, and divided into July 5, 2010 to 2010 In November 5th, the CSI 300 price index rose from November 8, 2010 to April 8, 2011, the Shanghai and Shenzhen 300 index price adjustment stage and from April 11, 2011 to January 6, 2012 in Shanghai and Shenzhen stock price index fell 300, to test the herding rising stage and decline stage. In the sample data, select the RESSE financial research database provides sample point that business in July 5, 2010 plate price index and Shenzhen component index constituent stocks of the weekly return data and daily return Beta240 rolling data, as well as the market returns of Shanghai and Shenzhen 300 index price weekly return data. By using the CCK method for the determination of the gem and the main board of the Shenzhen market whether there is herding, which is to check stock returns relative to the cross section of the market rate of return the absolute deviation exists between the nonlinear CSAD and degree of market return The relationship between degree of change, then use HS method to test herding effect, the results show that the market prices have the effect of herding in Shenzhen main board market and the GEM market, and two of the market as the market index rose, herding in the degree of enhancement; when the market is declining, only Shenzhen motherboard market exists herding, and the herd effect just did not start the enhancement, then suddenly greatly increased, and then decreased gradually. Finally, comparative analysis of herd effect and degree of change of the GEM market and Shenzhen stock market, there are six main aspects in herding, are short of the mechanism is not perfect, information asymmetry, policy intervention, the herd behavior of fund managers, non the rational and technical analysis of investor behavior. Aiming at these six aspects, in order to prevent the adverse effects of herd effect brought about by the government regulators Some suggestions are made with investors.

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】