上海证券市场羊群效应及反羊群效应的实证研究

发布时间：2018-04-25 08:04

本文选题：羊群 + 实证　；参考：《山东大学》2013年硕士论文

【摘要】：由于行为金融学对经典金融学的突破,使得羊群效应与反羊群效应成为一个重要研究方向。证券市场的稳定性和运行效率都与羊群效应与反羊群效应紧密相连,为了保障我国证券市场的又快又好的发展,故对其进行实证研究是十分必要的。迄今为止,国内外对反羊群效应的研究尚在分析投资者行为原因的模型上,没有检验证券市场的实证模型,本文在这方面进行了尝试和创新,在信息熵的基本理论基础上,提出了相对熵的反羊群效应实证模型。首先,本文介绍了有关羊群效应和反羊群效应的基本理论,包括产生背景、定义和特点,并对国内外的相关文献进行了系统的梳理。其次,在实证研究方面,本文采用CH模型、CCK模型、HS模型分别对我国上海证券市场总体进行了实证研究,发现我国上海证券市场存在显著的羊群效应,进一步根据上海证券大盘走势图选取明显的牛市和熊市两个时间段再次分别进行实证研究,发现当市场处于大跌时,更容易发生显著的有意羊群效应,而当市场处于大涨时有意羊群效应并不显著存在,这说明我国股民有“杀跌”的倾向。再次,本文在信息熵的基本理论之上,为了能够检验证券市场中的反羊群效应的存在性,提出了基于相对熵的反羊群效应的实证模型,并对我国上海证券市场进行了实证检验,得出我国证券市场在上涨市场和下跌市场均存在显著的反羊群效应的结论。最后,本文从羊群效应与反羊群效应的实证结果分析获得了一些启示：认为我国证券市场还尚未成熟,体制尚未完善,我国股民由于缺乏信息而不够理智,为保证我国证券市场快速稳定的发展,提出了几点建议和有关羊群效应和反羊群效应的继续研究方向。
[Abstract]:Because of the breakthrough of behavioral finance to classical finance, herding and anti-herding have become an important research direction. The stability and efficiency of the securities market are closely related to the herding effect and the anti-herding effect. In order to ensure the rapid and good development of the securities market in China, it is very necessary to conduct an empirical study on it. Up to now, the research on anti-herding effect at home and abroad is still on the model of analyzing investors' behavior reasons, and there is no empirical model to test the stock market. This paper tries and innovates in this respect, based on the basic theory of information entropy. An empirical model of relative entropy against herding effect is proposed. Firstly, this paper introduces the basic theories of herding and anti-herding, including the background, definition and characteristics of herding, and systematically combs the relevant literature at home and abroad. Secondly, in the aspect of empirical research, this paper uses Ch model / CCK model / HS model to study Shanghai stock market as a whole, and finds that there is remarkable herding effect in Shanghai stock market. Further more, according to the market trend chart of Shanghai Securities, two distinct periods of bull market and bear market are selected to carry out empirical research again, and it is found that when the market is in a sharp decline, it is more likely to have significant intentional herding effect. However, when the market is in a big rise, the intentional herding effect does not exist significantly, which indicates that Chinese investors have the tendency to "kill down". Thirdly, based on the basic theory of information entropy, in order to test the existence of anti-herding effect in securities market, this paper puts forward an empirical model of anti-herding effect based on relative entropy, and makes an empirical test on Shanghai stock market in China. It is concluded that there are significant anti-herding effects in both the rising market and the falling market in China's securities market. Finally, this paper obtains some enlightenment from the empirical analysis of herding effect and anti-herding effect: the stock market in our country is not mature, the system is not perfect, and the investors in our country are not rational because of the lack of information. In order to ensure the rapid and stable development of China's securities market, several suggestions and the direction of further research on herding and anti-herding are put forward.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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