基于CCK模型的中国股市羊群效应及其非理性因素的研究

发布时间：2018-04-08 15:16

本文选题：羊群效应　切入点：CCK模型　出处：《复旦大学》2012年硕士论文

【摘要】：随着现代证券市场发展,股价水平越来越显著地能够反映整个金融体系乃至宏观经济的运作情况。在金融系统逐渐成熟的同时,其监管不完善、信息不对称等原因使股市出现了异象,经典的资产定价模型(CAPM)已不能准确地反映股票价格的波动情况,于是,行为金融学将投资者在决策过程中的非理性心理因素纳入考虑范围,进一步分析股市异象的具体产生机制。在一系列股市异象中,羊群效应作为一个普遍现象,影响着整体市场的发展。到目前为止,学界有较多对投资者羊群效应的分析和研究,关于各种市场的羊群效应的检验也是收获颇丰。而这些研究较多地集中于发达国家的机构投资者的研究,对于发展中国家中小投资者的羊群效应存在与否,或者是羊群效应的强弱程度,一直缺乏一个较为明晰的结论。另一方面,非理性因素对羊群效应究竟有一个怎样的影响路径,目前的研究都未涉及。而中国作为刚起步的股票市场,其非理性投资者占比较大。本文将中国股票市场具有代表性的一系列股票作为一个整体,在考虑不同股票的规模效应的基础上,来分析羊群效应的存在情况及其强弱程度,并进一步考虑非理性因素对于羊群效应具体的影响程度。为此,本文用CCK检验模型对上证180指数成份股的收益率进行实证检验,并加以调整,创新性地改变了多项式回归模型中的市场收益率与股票收益率偏离程度(CSAD)传统的等权重的计算方法,加入市值权重,并且基于不同的时间跨度分别进行检验,对不同时间跨度的羊群效应进行比较并分析原因。另外,基于CCK模型的检验结果,本文提出了一个用以指示长期羊群效应强弱程度路径的短期指标,即个股偏离加速度,并将该指标对市场上的噪音交易进行相关性检验,得到在不同市场下该偏离加速度与噪音交易之间存在一定的相关关系,并对其结果进行分析。最后,在实证结果的基础上,对中国市场股票投资策略提出了相应的建议。
[Abstract]:With the development of the modern securities market, the stock price level can reflect the whole financial system and even the macro economy.At the same time when the financial system is maturing, some reasons, such as imperfect supervision and asymmetric information, make the stock market appear abnormal. The classical asset pricing model (CAPMM) can no longer accurately reflect the fluctuation of stock price.Behavioral finance takes the irrational psychological factors of investors in the decision-making process into consideration, and further analyzes the concrete mechanism of stock market anomalies.In a series of stock market anomalies, herding, as a common phenomenon, affects the development of the market as a whole.Up to now, there are many researches on the herding effect of investors in academic circles, and the test of herding effect in various markets is also fruitful.However, most of these studies focus on institutional investors in developed countries, and there is a lack of a clear conclusion about the existence of herding effect or the degree of herding effect of small and medium-sized investors in developing countries.On the other hand, what kind of influence path does irrationality have on herding effect has not been studied at present.China, as a fledgling stock market, accounts for a large proportion of its irrational investors.In this paper, a series of representative stocks in Chinese stock market are considered as a whole, and on the basis of considering the scale effect of different stocks, we analyze the existence of herding effect and the degree of herding effect.Furthermore, the degree of influence of irrational factors on herding effect is further considered.Therefore, this paper uses the CCK test model to test the yield of Shanghai 180 index and adjust it.It innovatively changes the traditional equal weight calculation method of market return and stock return deviation degree in polynomial regression model, adds market value weight, and tests it based on different time span.The herding effect in different time span was compared and the reasons were analyzed.In addition, based on the test results of CCK model, this paper puts forward a short-term index to indicate the long-term herding effect intensity path, that is, the stock deviation acceleration, and carries on the correlation test to the noise trade in the market.It is obtained that there is a certain correlation between the deviation acceleration and the noise transaction in different markets, and the results are analyzed.Finally, on the basis of the empirical results, the paper puts forward the corresponding suggestions on the stock investment strategy in China market.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】