后股改时代沪深股市羊群行为的实证研究
[Abstract]:Herd Behavior is a ubiquitous phenomenon in financial market. The existence of herd behavior can cause the price of financial assets to fluctuate greatly; aggravate the instability and vulnerability of financial markets; and accelerate the global spread of financial crisis. The adverse effects of herd behavior on financial market have seriously hindered the development of the sustained and healthy capital market, so the research on stock market herd behavior has always been the focus of the attention of the academic circles and the government authorities. Under the background of global economic growth, China's stock market is one of the biggest emerging stock markets in the world. Although it has experienced nearly two decades of development, China's stock market has a low level of information transparency and policy guidance than the developed capital market. Strong, stock market participants as individual investors, their investment behavior has obvious investment, the Chinese stock market these characteristics are not conducive to China's stock market herd behavior formation The existence of the problem in China's capital market, especially the stock rights, has restricted the regulation development of China's capital market and the fundamental of the management system of state-owned assets in many aspects On January 31, 2004, the State Council issued the Opinions of the State Council on Promoting the Reform and Opening-up of Capital Market and Stable Development. k>. It is the most profound reform of China's securities market since its establishment. At present, the reform of equity division has been more than six years since the start of the start-up, and the effect of the reform of stock rights has been gradually revealed, and the change in the system level of the stock market of our country will certainly influence the investors The solution to the issue of equity investment will help to truly reflect the securities market pricing and pricing mechanism, and help to improve the investor's investment environment. At the same time, this equity is divided into reform to protect investors, especially the public investors. The equity is the principle, which will greatly improve Investors are confident. In this context, whether the herd behavior of our stock market still exists, or whether the herd behavior of the stock market in our country shows a new feature is worth studying Based on the study of the herd behavior of Chang, Cheng and Khoana, this paper studies the herd behavior of China's Shanghai-Shenzhen stock market by using CCK model and 903 listed companies in Shanghai-Shenzhen stock market in 2006. The stock is the research object, and the daily transaction price of the target object in the interval from January 2, 2003 to December 31, 2010 is selected as sample data. First, the whole herd behavior of the Shanghai-Shenzhen stock market is empirically tested. At the same time, we focus on the research of the Shanghai-Shenzhen Stock Exchange in the Post-Stock Reform Era. The characteristics of herd behavior in the city, the comparative study of herd behavior in different periods before and after the reform of the stock market, the difference of the herd behavior in the post-stock change era, and three aspects of the difference of the behavior of the sheep in the post-stock reform period Through empirical research and analysis, this paper has obtained There are some valuable research results. First, in the sample period from January 2, 2003 to December 31, 2010, there are significant herd behavior in Shanghai and Shenzhen stock markets, whether in the market or in the decline, but the herd behavior in both cases of rising and falling is severe. Secondly, in the comparative study of herd behavior before and after the stock reform, the results show that there are significant differences between the stock market and the stock market before and after the stock change, and the sample company has obvious herd behavior before the stock change. In order to promote the stock market, the herd behavior of the two cities gradually disappeared. After the completion of the stock reform, the Shanghai-Shenzhen stock market showed remarkable herd behavior only when the market was down; once again, the difference of the herd behavior in the stock market of Shanghai-Shenzhen stock market in the post-stock reform period was found to be the investment The investment of the petroleum chemical plastics industry, mechanical equipment instrument industry, construction industry and other industry shares shows more serious herding behavior, but the investment in the pharmaceutical and biological products industry, social service industry and food and beverage industry providing daily consumption products of the residents is not saved. At last, in the study of the difference of herd behavior of different performance plates, we found that although there are sheep behavior in the three kinds of performance plates of merit unit, share and garbage unit, the garbage can be compared with that of merit unit and achievement. Based on the empirical results and the actual situation of Shanghai-Shenzhen stock market, this paper analyzes the causes of stock market herd behavior in China, and analyzes the sheep in different backgrounds, different industries and different performance plates. The differences of group behavior are discussed in depth. According to the characteristics of stock market herd behavior in our country, this paper puts forward the idea of transforming investment from three perspectives of individual investors, regulators and government authorities, changing investment strategy, adjusting market structure, introducing hedging mechanism, and adding We hope to optimize investor investment decision-making, weaken the stock market herd behavior and promote our country's share in order to optimize the investor's investment decision-making, perfect the information disclosure system, transform the government's role positioning, guarantee the forward-looking and stability of the system regulation, etc.
【学位授予单位】:成都理工大学
【学位级别】:硕士
【学位授予年份】:2012
【分类号】:F832.51;F224
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