我国创业板市场羊群行为实证研究

发布时间：2018-01-03 10:43

本文关键词：我国创业板市场羊群行为实证研究　出处：《安徽财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：羊群行为最早是用来描述股票交易中投资者之间相互模仿和利用他人交易信息的现象的,其是行为金融学的重点研究方向之一,因为我们无法从主流的金融学理论中得到解释这一现象的方法。羊群行为是证券市场中一种常见的现象,而其结果却常常是放大了追涨杀跌的效应,从而对市场的效率和稳定性构成威胁,情况严重的甚至有可能引起金融危机。值得注意的是,我国创业板市场被寄望成为中国版“纳斯达克”并且肩负了为我国中小企业提供有效的融资渠道、推动创新和加快经济发展方式转型的重任,其能否健康稳定的运行显得尤为重要。因此,对我国创业板市场上的羊群行为进行研究,并且在此基础上探讨如何促进其健康稳定的发展就显得尤为重要。本文首先分析了创业板羊群行为的研究背景和意义以及国内外关于金融市场上羊群行为的研究情况。在论文的第二章中,介绍了羊群行为的起源和发展,阐述了羊群行为产生的原因包括理性和非理性两个方面,并认为理性因素更重于非理性因素。分析了羊群行为对股票市场的负面影响,指出羊群行为会导致市场信息传递链的中断、效率的损失以及市场的不稳定性和脆弱性。论文的第三章对创业板羊群行为进行了一般分析。介绍了我国创业板从起源到正式推出的整个发展历程,同时还介绍了创业板上市企业在数量增长、成立时间分布以及行业分布上的特点。接着结合上一章中羊群行为的成因与创业板自身的特点,分析了创业板市场上羊群行为存在的可能性。论文的第四章对创业板羊群行为进行了实证分析。首先对模型进行了介绍,比较模型的优劣,并且指出了更适合本文研究的模型。在具体的实证过程中,考虑到我国创业板自身的特点,设计了一个新的模型再次进行检验,得出了不同的结果,并分析了原因,最后得出我国创业板市场上存在一定程度的羊群行为。第五章总结了全文的研究结论,并且根据全文的理论和实证研究结果提出抑制我国创业板羊群行为的建议,最后指出研究的不足之处并对未来的研究做出展望。
[Abstract]:Herd behavior is first used to describe the phenomenon of investors imitating each other and using other trading information in stock trading. It is one of the key research directions of behavioral finance. Herding behavior is a common phenomenon in the stock market, but the result is often magnified the effect of chasing the rise and kill the fall. This poses a threat to the efficiency and stability of the market, and if the situation is serious, it may even cause a financial crisis. China's gem market is expected to become China's version of "Nasdaq" and shoulder the burden of providing effective financing channels for SMEs, promoting innovation and speeding up the transformation of economic development mode. Therefore, it is very important to study the herding behavior in the gem market of our country, and discuss how to promote its healthy and stable development on this basis. This paper first analyzes the research background and significance of gem herding behavior and the domestic and foreign research on herding behavior in the financial market. In the second chapter, the origin and development of herding behavior are introduced. This paper expounds the causes of herd behavior, including rational and irrational, and thinks that rational factors are more important than irrational factors, and analyzes the negative effects of herd behavior on stock market. It is pointed out that herding behavior will lead to the interruption of the market information transmission chain. The loss of efficiency and the market instability and vulnerability. Chapter III of the paper on the gem herd behavior general analysis, introduced the gem from its origin to the formal launch of the entire development process. At the same time, it also introduces the characteristics of gem listed enterprises in terms of quantity growth, establishment time distribution and industry distribution. Then combining the causes of herd behavior in the previous chapter and the characteristics of gem itself. This paper analyzes the possibility of herd behavior in the gem market. Chapter 4th of the paper makes an empirical analysis on the herd behavior of gem. Firstly, the paper introduces the model and compares the advantages and disadvantages of the model. And pointed out a more suitable model for this study. In the specific empirical process, considering the characteristics of gem, we designed a new model to test again, and got different results. And analyzed the reasons, and finally concluded that there is a certain degree of herding behavior in the gem market in China. Chapter 5th summarizes the research conclusions of the full text. According to the theoretical and empirical research results, the paper puts forward some suggestions to restrain the herding behavior of gem in China. Finally, it points out the deficiencies of the research and makes a prospect for the future research.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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