中国创业板市场羊群行为实证研究

发布时间：2018-09-19 16:12

【摘要】：羊群行为是群体中个体之间相互作用、相互影响而产生的一致性行为。投资者的羊群行为是导致股票市场剧烈波动和引发市场系统性风险的一个重要原因。在相同条件下，小公司股票和大公司股票羊群行为存在明显差异，创业板股票总股本和流通股本极小，极易被大资金操纵，成为一种投机工具。从实际市场表现可以看出，创业板市场股票股价波动剧烈，投机气氛浓厚。以中国创业板市场存在显著羊群行为为现实背景，结合行为金融学在“羊群行为”和“小公司效应”的研究成果基础上，运用横截面绝对偏离度（CSAD）方法和GARCH模型，实证检验创业板市场羊群行为，在用相关系数分析、Granger因果关系检验羊群行为度与股价波动关系基础上，重点分析内幕交易行为和货币流动性对创业板市场羊群行为的影响。针对创业板市场股票发行价过高、内幕交易严重以及存在监管漏洞这些问题建立博弈模型，对实证结果从主体的策略选择角度进行解释。通过理论分析和实证研究所得到的结论是：中国创业板市场存在显著的羊群行为，与其他市场相比，创业板市场羊群行为有自身的特性，存在一定程度的差异；创业板市场羊群行为受市场态势的影响，在整体市场下跌阶段，羊群行为极其强烈。实证检验表明，羊群行为是创业板市场股价剧烈波动的重要因素，投机因素促使了股价的异常波动，基本面因素影响不显著。创业板市场羊群行为的特性与过高的发行价、内幕交易行为密切相关，最终导致股价对货币流动性极其敏感，在货币流动性收缩的背景下，创业板市场股票的高股价、高市盈率，导致了资金的争相撤离。从博弈分析来看，机构投资者对创业板股票的承销与价格申报，更多考虑自身的获利可能性和空间，而无视创业板股票的成长性大小，概念炒作从主板市场延伸到创业板市场。同时，，创业板市场存在政策缺失、监管不到位，这助长了市场的过度投机情况。创业板市场的羊群行为，反应出我国股票市场投资者的不成熟和跟风行为的盛行，无论在一级市场或是二级市场，创业板股票的股价都容易被机构操纵。监管层应该完善相关法律制度，打击市场操纵行为，加强对市场的引导，防止股票价格和价值的过分背离；同时在一级市场上应该循序规范发行新股，继续推进新股定价改革，建立和完善创业板股票的退市制度。
[Abstract]:Herding behavior is the consistent behavior caused by the interaction and interaction among individuals. The herding behavior of investors is one of the important reasons that lead to the volatility of stock market and the systemic risk of stock market. Under the same conditions, there are obvious differences in herd behavior between small company stock and large company stock. The total share capital and circulating stock of gem stock are very small, so they are easily manipulated by large capital and become a kind of speculative tool. From the actual market performance can be seen, gem stock price volatility, strong speculative atmosphere. Based on the research results of herding behavior and "small company effect" in China's gem market, this paper uses the (CSAD) method of absolute deviation degree of cross section and GARCH model, based on the research results of "herd behavior" and "small company effect" in China's gem market. Based on the empirical analysis of the relationship between herding behavior and stock price volatility, the paper analyzes the influence of insider trading and currency liquidity on herding behavior in gem market with the correlation coefficient analysis of Granger causality. In view of the problems of excessive IPO price, serious insider trading and the existence of regulatory loopholes in the gem market, the game model is established, and the empirical results are explained from the perspective of the main body's strategic choice. The conclusions obtained by theoretical analysis and empirical research are as follows: there is remarkable herding behavior in China's gem market, and compared with other markets, gem market has its own characteristics and some differences to some extent; The herding behavior of gem market is influenced by market situation, and the herd behavior is extremely strong at the stage of overall market decline. The empirical test shows that herd behavior is an important factor of the sharp fluctuation of the gem stock price, speculative factors promote the abnormal volatility of the stock price, and the influence of fundamental factors is not significant. The characteristics of herd behavior in the gem market are closely related to the excessive issuance price and insider trading behavior, which ultimately lead to the stock price being extremely sensitive to monetary liquidity. Under the background of the contraction of monetary liquidity, the gem market has a high share price. High price-earnings ratio, led to a scramble for the withdrawal of funds. From the game analysis, institutional investors pay more attention to the possibility and space of their own profit, but ignore the growth of gem, and the concept of speculation extends from the main board market to the gem market. At the same time, there is a lack of policy and regulation in the gem market, which contributes to excessive speculation in the market. The herd behavior in the gem market reflects the immature behavior of investors in our stock market and the prevalence of following the trend. Whether in the primary market or the secondary market, the gem stock price is easily manipulated by institutions. Regulators should improve relevant legal systems, crack down on market manipulation, strengthen guidance to the market, and prevent excessive deviations in stock prices and values; at the same time, they should standardize the issuance of new shares in a first-level market and continue to push forward new share pricing reform. To establish and improve the gem stock delisting system.
【学位授予单位】：西北师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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