Empirical Evidence of Herding Behavior in the Chinese Stock
发布时间：2023-04-03 18:27
本文使用由Chang et al.(2000)提出的收益率的横截面绝对离散误差(CSAD)指标对中国股票市场的羊群行为进行了全面的研究,该方法能够捕捉个股与市场收益之间的非线性关系。根据Christie&Huang(1995)和Chang et al.(2000)的研究结果,当个股收益趋向并汇合于市场共识时,羊群行为会出现在股票市场中,从而导致个股收益的收益分散性降低,相较于市场收益。首先,本研究调查了基本面和非基本面因素对于中国股票市场的羊群行为及趋向市场共识的影响范围。实证结果表明,在整个中国股市中,在有或没有任何基本面因素的情况下,在整个市场范围内都有羊群行为。但是,在大多数情况下,基本面羊群行为的数量要大于非基本面羊群行为的数量。研究结果还表明,在市场中的羊群行为强度各不相同,并且投资者羊群行为出现的原因在特定的市场条件下也有所不同,例如市场各个阶段,极端市场条件,流动性效应,金融动荡,宏观经济公告和传染效应。此外,研究结果表明,A股市场的信息环境更加丰富,而且其投资者现在在交易时更倾向依赖基本面信息。这一推论与一些研究表明在中国股票市场信息效率的提高是一致的。相反,B...
【文章页数】：227 页
【学位级别】：博士
【文章目录】：
Abstract
摘要
1.Introduction
2.Background
3.Herding Behavior:Fundamental or Non-Fundamental?
3.1.Introduction
3.1.1.Contribution of the Study
3.2.Related Literature
3.2.1.Hypothesis Development
3.3.Methodology& Data collection
3.3.1.Data Collection
3.3.2.Methodology
3.4.Empirical Results
3.4.1.Descriptive Statistics of CSAD Sorted by Trading Volume
3.4.2.Herding towards the Chinese Stock Market
3.4.3.Herding Behavior during Rising and Falling Markets
3.4.4.Herding behavior under Extreme Market Conditions
3.4.5.The Effect of Liquidity
3.4.6.The Effect of Important Macro-economic News Releases
3.4.7.The Effect of Major Financial Crisis
3.4.8.The Spill-over Effect
3.4.9.The Evolution Pattern of Herding Intensity Over the Years
3.5.Conclusion
4.The Impact of Limits of Arbitrage on Herding Behavior
4.1.Introduction
4.1.1.Contribution of the Study
4.2.Related literature
4.3.Data Collection& Methodology
4.3.1.Data Collection
4.3.2.Methodology
4.3.2.1.Construction of Limits of Arbitrage Index
4.3.2.2.Portfolio Construction& Herding Estimation
4.3.2.3.Herding Estimation
4.4.Empirical Results
4.4.1.Descriptive Statistics of CSAD and Limits of Arbitrage Index
4.4.2.The effect of Limits of Arbitrage
4.4.3.Asymmetric Effect of Limits of Arbitrage on Herding Behavior During Rising and Falling Markets
4.4.4.Asymmetric Effect of Limits Arbitrage on Herding Behavior Over the Years
4.5.Conclusion
5.The effect of Changes in Investor's Fear on Herding Behavior
5.1.Introduction
5.1.1.Contribution of the Study
5.2.Review of literature
5.3.Data collection& Methodology
5.3.1.Data collection
5.3.2.Methodology
5.3.2.1.Portfolio based-VIX index Construction
5.3.2.2.Herding Intensity Estimation
5.4.Empirical Results
5.4.1.Descriptive Statistics of CSAD and VIX Index
5.4.2.TThe Effect of Extremely Large and Small Changes in Investor's Fear on Herding Behavior
5.4.3.The Asymmetric Effect of Herding Behavior in Periods with Positive and Negative VIX Index
5.4.4.Asymmetric Effect of Different Degrees of Changes in The VIX(Positive& Negative)on Herding Behavior
5.4.5.Asymmetric Effect of Changes in Investor's Fear on Herding Behavior During Up and Down Markets
5.5.Conclusion
6.The Relationship Between Herding Behavior& Idiosyncratic Volatility
6.1.Introduction
6.1.1.Contribution of the Study
6.2.Related literature
6.3.Data Collection& Methodology
6.3.1.Data Collection
6.3.2.Methodology
6.3.2.1.Idiosyncratic Volatility Estimation
6.3.2.2.Portfolio based-Idiosyncratic Volatility Construction
6.3.2.3.Herding Intensity Estimation
6.4.Empirical Results
6.4.1.Descriptive Statistics of CSAD
6.4.2.Herding towards the Chinese Stock Market
6.4.3.The Effect of Idiosyncratic Volatility
6.4.4.Asymmetric Effect of Idiosyncratic Volatility on Herding Behavior during Rising and Falling Markets
6.5.Conclusion
7.Herding Behavior Response to the Chinese Investor’s Sentiment
7.1.Introduction
7.1.1.Contribution of the Study
7.2.Related literature
7.3.Methodology and Data Collection
7.3.1.Data collection
7.3.2.Methodology
7.3.2.1.Portfolio Construction"High& Low Sentiment Periods"
7.3.2.2.Monthly Herding Intensity Estimation
7.4.Empirical Results
7.4.1.Descriptive Statistics of CSAD,CICSI index and ISI index
7.4.2.Monthly Herding towards the Chinese Stock Market
7.4.3.Effect of Investors'Sentiment(CICSI)on Herding Behavior
7.4.4.Effect of Investors'Sentiment(ISI)on Herding Behavior
7.4.5.Asymmetric Effect of Investors'Sentiment(CICSI)on Herding Behavior during Rising and Falling Markets
7.4.6.Asymmetric Effect of Investors'Sentiment(ISI)on Herding Behavior during Rising and Falling Markets
7.5.Conclusion
8.Conclusion
Acknowledgement
References
本文编号：3780919
【文章页数】：227 页
【学位级别】：博士
【文章目录】：
Abstract
摘要
1.Introduction
2.Background
3.Herding Behavior:Fundamental or Non-Fundamental?
3.1.Introduction
3.1.1.Contribution of the Study
3.2.Related Literature
3.2.1.Hypothesis Development
3.3.Methodology& Data collection
3.3.1.Data Collection
3.3.2.Methodology
3.4.Empirical Results
3.4.1.Descriptive Statistics of CSAD Sorted by Trading Volume
3.4.2.Herding towards the Chinese Stock Market
3.4.3.Herding Behavior during Rising and Falling Markets
3.4.4.Herding behavior under Extreme Market Conditions
3.4.5.The Effect of Liquidity
3.4.6.The Effect of Important Macro-economic News Releases
3.4.7.The Effect of Major Financial Crisis
3.4.8.The Spill-over Effect
3.4.9.The Evolution Pattern of Herding Intensity Over the Years
3.5.Conclusion
4.The Impact of Limits of Arbitrage on Herding Behavior
4.1.Introduction
4.1.1.Contribution of the Study
4.2.Related literature
4.3.Data Collection& Methodology
4.3.1.Data Collection
4.3.2.Methodology
4.3.2.1.Construction of Limits of Arbitrage Index
4.3.2.2.Portfolio Construction& Herding Estimation
4.3.2.3.Herding Estimation
4.4.Empirical Results
4.4.1.Descriptive Statistics of CSAD and Limits of Arbitrage Index
4.4.2.The effect of Limits of Arbitrage
4.4.3.Asymmetric Effect of Limits of Arbitrage on Herding Behavior During Rising and Falling Markets
4.4.4.Asymmetric Effect of Limits Arbitrage on Herding Behavior Over the Years
4.5.Conclusion
5.The effect of Changes in Investor's Fear on Herding Behavior
5.1.Introduction
5.1.1.Contribution of the Study
5.2.Review of literature
5.3.Data collection& Methodology
5.3.1.Data collection
5.3.2.Methodology
5.3.2.1.Portfolio based-VIX index Construction
5.3.2.2.Herding Intensity Estimation
5.4.Empirical Results
5.4.1.Descriptive Statistics of CSAD and VIX Index
5.4.2.TThe Effect of Extremely Large and Small Changes in Investor's Fear on Herding Behavior
5.4.3.The Asymmetric Effect of Herding Behavior in Periods with Positive and Negative VIX Index
5.4.4.Asymmetric Effect of Different Degrees of Changes in The VIX(Positive& Negative)on Herding Behavior
5.4.5.Asymmetric Effect of Changes in Investor's Fear on Herding Behavior During Up and Down Markets
5.5.Conclusion
6.The Relationship Between Herding Behavior& Idiosyncratic Volatility
6.1.Introduction
6.1.1.Contribution of the Study
6.2.Related literature
6.3.Data Collection& Methodology
6.3.1.Data Collection
6.3.2.Methodology
6.3.2.1.Idiosyncratic Volatility Estimation
6.3.2.2.Portfolio based-Idiosyncratic Volatility Construction
6.3.2.3.Herding Intensity Estimation
6.4.Empirical Results
6.4.1.Descriptive Statistics of CSAD
6.4.2.Herding towards the Chinese Stock Market
6.4.3.The Effect of Idiosyncratic Volatility
6.4.4.Asymmetric Effect of Idiosyncratic Volatility on Herding Behavior during Rising and Falling Markets
6.5.Conclusion
7.Herding Behavior Response to the Chinese Investor’s Sentiment
7.1.Introduction
7.1.1.Contribution of the Study
7.2.Related literature
7.3.Methodology and Data Collection
7.3.1.Data collection
7.3.2.Methodology
7.3.2.1.Portfolio Construction"High& Low Sentiment Periods"
7.3.2.2.Monthly Herding Intensity Estimation
7.4.Empirical Results
7.4.1.Descriptive Statistics of CSAD,CICSI index and ISI index
7.4.2.Monthly Herding towards the Chinese Stock Market
7.4.3.Effect of Investors'Sentiment(CICSI)on Herding Behavior
7.4.4.Effect of Investors'Sentiment(ISI)on Herding Behavior
7.4.5.Asymmetric Effect of Investors'Sentiment(CICSI)on Herding Behavior during Rising and Falling Markets
7.4.6.Asymmetric Effect of Investors'Sentiment(ISI)on Herding Behavior during Rising and Falling Markets
7.5.Conclusion
8.Conclusion
Acknowledgement
References
本文编号：3780919
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