沪深和香港银行板块羊群效应的比较分析

发布时间：2018-05-03 07:54

本文选题：羊群效应 + CCK模型　；参考：《复旦大学》2014年硕士论文

【摘要】：随着社会经济的发展,证券市场上风险因素层出不穷,有效市场利率因着周末效应小公司效应等等而不断受到挑战。人们发现市场套利的过程往往使得价格更加偏离证券的内在价值,造成这种现象的有许多原因,一些非理性心理因素正在影响着市场,追涨杀跌的羊群效应就是其中之一。在我国无论是A股市场还是H股市场,银行股都有着十分重要的地位,在内地和香港两地交叉上市的银行股也比较多,远远大于其他板块。香港是个成熟的市场,而内地沪深两市兴起不过二十多年,是个新兴市场,不理性行为可能更多。因此我们认为将两地的银行股放在一起做比较是十分合适的。本文使用了分散度(Dt)指标、截面收益的绝对偏差(CSAD)指标,分别使用CH模型和CCK模型提出了两种种检验羊群效应的方法。分别是通过判断个股在市场极端上涨和下跌的情况下对市场的偏离程度的回归系数来比较发现羊群效应是否存在。结果发现利用CH模型检验时在中国市场上存在熊市时银行板块羊群效应不明显,而牛市时银行板块的羊群行为较为显著的现象,并且比各个板块分散度水平都要低。CCK模型则是利用个股截面收益的绝对偏差(CSAD)与投资回报率的非线性关系(即二次项系数显著不为零)作为研究指标,来判断羊群效应是否显著。本文将市场投资回报率处于牛市和熊市的二次项回归系数进行比较,发现银行板块的羊群行为在熊市和牛市情况下比之市场上所有公司的羊群行为更加集中。对于港股市场来说,大部分情况下羊群效应都不是十分明显。最后将香港大陆两地市场的换手率和市场投资回报率作了回归分析,发现换手率同市场投资回报率成正相关关系,这就体现了两市都存在着一定的羊群效应而内地一次项系数更高,也就是说其的羊群效应尤为明显。这也体现了港股市场作为一个成熟的金融市场,投资者的投资行为会更加比较理性,因此羊群行为程度较低。
[Abstract]:With the development of social economy, the risk factors in the securities market emerge one after another, and the effective market interest rate is constantly challenged by the weekend effect of small firm effect and so on. People find that the process of market arbitrage often makes the price deviate from the intrinsic value of securities. There are many reasons for this phenomenon. Some irrational psychological factors are influencing the market. In China, both the A-share market and the H-share market, bank shares have a very important position, in the mainland and Hong Kong cross-listed banking stocks are also relatively large, far larger than other sectors. Hong Kong is a mature market, while the mainland's Shanghai and Shenzhen markets have only been around for more than two decades. They are emerging markets and may be more irrational. Therefore, we think it is appropriate to compare the banks' shares together. In this paper, the dispersion index (Dt) and the absolute deviation of cross section return (CSAD) are used to test herding effect by using Ch model and CCK model, respectively. By judging the regression coefficient of the deviation degree of individual stock to the market under the condition of extreme rise and fall of the market, we find out whether the herd effect exists or not. The results show that the herd effect of banking sector is not obvious in Chinese market when Ch model is used to test it, but the herd behavior of bank plate is more obvious in bull market. The CCK model is based on the nonlinear relationship between the absolute deviation of the return of individual stock section and the return on investment (i.e. the quadratic coefficient is significantly not zero) as the research index. To determine whether herding is significant. This paper compares the quadratic regression coefficients of return on investment between bull market and bear market. It is found that herd behavior in banking sector is more concentrated in bear market and bull market than that in all companies in the market. For the Hong Kong stock market, in most cases the herd effect is not very obvious. Finally, a regression analysis is made between the turnover rate and the return on investment in the mainland and Hong Kong markets, and it is found that the turnover rate has a positive correlation with the return on investment in the market. This shows that both cities have a certain herding effect, but the factor of primary item is higher in the interior, that is to say, the herding effect is especially obvious. This also reflects the Hong Kong stock market as a mature financial market, investors' investment behavior will be more rational, so the herd behavior is lower.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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