基于信息熵的中国证券市场羊群行为研究

发布时间：2018-02-16 00:58

本文关键词： 信息熵羊群行为 CCK 最大熵趋势分析　出处：《山东大学》2012年硕士论文　论文类型：学位论文

【摘要】：羊群行为是行为金融学的一个重要研究方向,主要是指投资者受到其他投资者的投资决策或投资偏好的影响,忽略个人信息或个人喜好,而做出与他人相似或一样的投资策略的行为。金融市场中的羊群行为通常是指在某一特定时期,大量投资者采取相同投资策略或表现出相同投资决策偏好的行为。羊群行为的发生是很多因素共同作用的结果,包括市场信息的不对称性、投资者厌恶风险、基金经理的报酬机制等。众多学者的研究发现,羊群行为可以看作是金融危机爆发和市场崩塌的主要原因之一。近几年,金融危机的陆续爆发,使得羊群行为成为众多研究者关注的重要课题之一本文首先介绍了羊群行为的起源和发展,闸述了羊群行为的在金融市场中的形成原因及其类别和特点等。然后,对国内外现有的羊群行为相关文献进行综述,并分析了现有研究方法的优缺点。这些方法主要包括：LSV方法,PCM方法,CH方法和CCK方法。其次,结合现有的研究方法,以及对信息熵和最大熵理论的研究分析,本文试探性地捉出了羊群行为的基于信息熵的检验模型和趋势分析模型。为了更好的研究比较,本文将市场收益率按照市市场走势分为上涨和下跌两个时问段,并用CCK模型检验了我国证券市场中羊群行为的存在性,将其检验结果与我们所提出的新模型的结果进行了对比分析。结果发现,在我国证券市场中,羊群行为较为显著,并且市场下跌时比.上涨时羊群行为表现得更为显著。本文进一步分析了羊群行为在我国市场中表现的变化趋势,发现我国证券市场的羊群行为有增强的趋势,并且在上涨阶段增强的更快。本文对该实证结果产生的原因进行了分析,并据此给对我国证券市场的发展给出了相关建议和意见。最后,我们对本文的研究内容和方法进行了总结,并归纳了信息、熵方法的优势,说明基于信息熵的羊群行为检验模型具有可行性。
[Abstract]:Herding behavior is an important research direction in behavioral finance, which means that investors are influenced by other investors' investment decisions or preferences and ignore personal information or preferences. The herding behavior in financial market usually refers to the behavior that a large number of investors adopt the same investment strategy or show the same investment decision preference in a certain period of time. The occurrence of herding behavior is the result of many factors, including asymmetry of market information, risk aversion of investors, compensation mechanism of fund managers and so on. Herding behavior can be regarded as one of the main reasons of financial crisis and market collapse. In recent years, the outbreak of financial crisis has made herding behavior one of the most important topics that many researchers pay attention to. In this paper, the origin and development of herding behavior are introduced, and the causes, types and characteristics of herding behavior in financial market are described. The advantages and disadvantages of the existing research methods are analyzed. These methods mainly include the CCK method and the Ch method. Secondly, combining with the existing research methods, the information entropy and the maximum entropy theory are studied and analyzed. This paper tries to find out the information entropy based test model and trend analysis model of herding behavior. In order to better study and compare, the market yield is divided into two periods according to the market trend: rising and falling. The existence of herding behavior in China's securities market is tested by CCK model. The results of the test are compared with the results of the new model proposed by us. The results show that the herding behavior is more significant in China's securities market. This paper further analyzes the changing trend of herding behavior in Chinese market, and finds that the herding behavior of China's securities market has an increasing trend. This paper analyzes the causes of the empirical results and gives some suggestions and suggestions on the development of China's securities market. Finally, we summarize the research contents and methods of this paper, and sum up the advantages of information and entropy method, which shows that the herding behavior test model based on information entropy is feasible.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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