基于ARCH模型对近期沪深两市羊群行为实证研究

发布时间：2018-01-27 01:02

本文关键词： 羊群行为横截面绝对偏离度CSAD ARCH模型　出处：《苏州大学》2014年硕士论文　论文类型：学位论文

【摘要】：羊群行为—投资者不经过理性思考而在投资上做出模仿别人的一拥而上，一哄就散的行为—已经得到人们越来越多的关注。羊群行为的理论发展也逐渐走向成熟。ARCH模型对研究经济领域的问题是一个非常有效的方法。本文基于ARCH模型采用上证50指数和深证成指指数为样本，时间区间是从2012/1/5至2014/1/10，利用横截面绝对偏离度CSAD作为主要研究指标，分别对沪市和深市做了模型检验，研究发现：两个市场都在近期存在比较显著的羊群行为，深证证券市场比上海证券市场羊群行为更为显著，同时追涨的羊群行为要非常明显于杀跌的，并且市场剧烈动荡阶段上证市场羊群行为要明显于深证市场。同时还发现当市场处于短时期的并且比较稳定的下跌阶段时利用CSAD可以检测出羊群行为。本文对上述结果给出了较为合理的解释并提出了可操作性的建议。
[Abstract]:Herd behavior-investors make a rush to imitate others in their investments without rational thinking. The theory development of herding behavior is becoming more and more mature. Arch model is a very effective method to study the problems in the economic field. Based on the ARCH model, this paper uses Shanghai Stock Exchange 50 Index and Shenzhen Stock Exchange Composite Index as samples, and the time range is from 2012/1/5 to 2014/1/10. Using the cross section absolute deviation degree (CSAD) as the main research index, the model tests of Shanghai and Shenzhen stock markets are made, and the results show that both markets have significant herding behavior in the near future. Shenzhen stock market is more significant than Shanghai stock market herding behavior, while the herding behavior of chasing up is very obvious to kill the fall. At the same time, it is also found that herd behavior can be detected by using CSAD when the market is in a short and stable period of decline. This paper gives a reasonable explanation to the above results and puts forward some operable suggestions.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

【参考文献】