基于GARCH模型族趋势特征下羊群行为的实证研究

发布时间：2018-04-05 13:52

本文选题：上证指数　切入点：GARCH模型族　出处：《兰州大学》2014年硕士论文

【摘要】：我国的证券市场发展历程比较短,正处于起步阶段。在股票市场中,由于投机的盛行,股市必会暴涨暴跌,同时股价也会大起大落,这会给中小投资者的利益造成巨大的损失。而羊群行为就是引起股市波动的主要原因之一。因此,对羊群行为进行研究很有必要。目前对羊群行为的研究,主要是借助各类数学模型。本文主要借助GARCH模型族和横截面绝对偏离度(CSAD)与市场收益率(Rt)之间的关系对上证A股市场收益率进行实证分析,研究发现：上证A股市场在上涨时期的羊群行为力度比在下跌时期的羊群行为力度更要明显。在不同的行业板块中电信、综合板块的羊群行为明显强于其他行业板块,而食品饮料和钢铁板块不存在羊群行为。在不同的地区板块中,当指数处于上升时期,各地区板块的羊群行为没有差异,而当指数处于下跌时期,经济发达地区的羊群行为明显强于经济落后的地区。在流通股本数不同的股票中,上涨时期小流通股本的股票羊群行为比较明显；而在下跌时期,小流通股本数的股票却比其他板块的股票稳定。
[Abstract]:China's securities market is in its infancy because of its short history.In the stock market, because of the prevalence of speculation, the stock market will rise and plummet, and share prices will also fluctuate, which will cause huge losses to the interests of small and medium-sized investors.Herd behavior is one of the main reasons for stock market volatility.Therefore, it is necessary to study herding behavior.At present, the research on herding behavior is mainly based on various mathematical models.Based on the relationship between the GARCH model family, the absolute deviation degree of cross section and the market rate of return (RT), this paper makes an empirical analysis on the market yield of A-shares in Shanghai Stock Exchange.The results show that the herding behavior of A stock market in Shanghai stock market is more obvious in the rising period than in the fall period.In different industry sectors, the herding behavior of composite plate is obviously stronger than that of other sectors, but there is no herding behavior in food, beverage and steel plate.In different regional plates, when the index is rising, there is no difference in herding behavior in different regions, but when the index is in the period of decline, the herding behavior of developed regions is obviously stronger than that of economically backward regions.In the stocks with different circulating capital, the herding behavior of the small circulation stock is obvious in the rising period, but in the falling period, the small circulation capital stock is more stable than the other stocks.
【学位授予单位】：兰州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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