中国上市公司投资者“羊群效应”的实证分析基于不同行业的对比研究

发布时间：2018-05-16 20:06

本文选题：羊群效应 + CH模型　；参考：《复旦大学》2014年硕士论文

【摘要】：近些年来,随着证券市场的快速发展,股市规模和股价水平引起人们日益广泛的关注,尤其是股价水平,越来越显著的反映了整个金融市场乃是整个国家宏观经济运转的情况。但是由于监管不完善、信息不对称等原因,股市出现了剧烈波动、股价异常等一系列异象。经典的有效市场假说和资本资产定价模型(CAPM)已经不能很好的解释这些现象,理性人的假设也不断被提出质疑。于是人们开始将投资者决策过程中的非理性因素纳入考虑范围,由此,行为金融学应运而生,试图用人们的非理性投资心理,解释股市异常背后的原因。而羊群效应作为行为金融学中的重要问题,影响着证券市场的发展,得到人们越来越多的关注。目前,国内外学者对羊群效应做过的很多研究主要集中在对其产生机制的研究和对其市场实证检验的研究两方面。国外的研究更为成熟,且较多集中在机构投资者。国内对羊群效应的研究起步较晚,相对不成熟。且中国的投资者中以中小散户投资者占绝对优势,有更明显的非理性投资倾向。同时中国市场由于政策干扰,更容易导致市场失效。因此,研究中国市场的羊群效应具有较为重要的意义。本文将中国股票市场沪深股市作为一个整体,分析从2008年-2012年中国股市羊群效应的存在性、变化趋势,以及研究对比不同行业板块中羊群效应的差异,由此分析行业周期性对羊群效应的影响。本文采用CH模型和CCK模型,分别对涉及不同行业属性(周期性、非周期性和综合类)的5个行业板块进行实证分析。通过CH模型、CCK基准参照模型和CCK改进模型分别验证羊群效应的存在性以及是否存在行业周期性的影响。并且通过三个模型的对比分析,步步深入,得到个股偏离程度和市场组合收益率的非线性相关关系。同时,通过引入二次项的改进模型,拆分羊群效应和行业属性各自对个股偏离程度和市场组合收益率的非线性相关关系的影响。然后通过对比年度数据的实证分析结果,验证中国股市羊群效应的变化趋势。最后在实证结果基础上,提出股市投资和政策建议。
[Abstract]:In recent years, with the rapid development of the securities market, people pay more and more attention to the stock market scale and stock price level, especially the stock price level, which reflects the whole financial market is the macroeconomic operation of the whole country. However, due to imperfect supervision and asymmetric information, the stock market appears a series of anomalies, such as sharp fluctuations and abnormal stock prices. The classical efficient market hypothesis and the capital asset pricing model can not explain these phenomena well, and the rational people's hypothesis has been questioned. Therefore, people began to take the irrational factors into account in the process of investors' decision-making. Thus, behavioral finance emerged as the times require, trying to explain the reasons behind the abnormal stock market by using people's irrational investment psychology. As an important issue in behavioral finance, herding affects the development of securities market and gets more and more attention. At present, many domestic and foreign scholars have done a lot of research on herding effect mainly focused on its production mechanism and its market empirical test two aspects. Foreign research is more mature, and more concentrated in institutional investors. The research on herding is late and relatively immature in China. And Chinese investors in small and medium retail investors account for absolute advantage, there is a more obvious irrational investment tendency. At the same time, the Chinese market due to policy interference, more likely to lead to market failure. Therefore, it is of great significance to study herding effect in Chinese market. This paper takes the stock market of Shanghai and Shenzhen in China as a whole, analyzes the existence and changing trend of herding effect in Chinese stock market from 2008 to 2012, and studies and compares the differences of herding effect in different sectors. The effect of industry periodicity on herding effect is analyzed. In this paper, Ch model and CCK model are used to analyze five industry sectors which involve different industry attributes (periodicity, non-periodicity and synthesis), respectively. The existence of herding effect and the existence of industry periodicity were verified by Ch model CCK-reference model and CCK improved model. Through the comparative analysis of the three models, the nonlinear correlation between the deviation degree of individual stock and the return rate of market portfolio is obtained step by step. At the same time, by introducing an improved quadratic model, the influence of herding effect and industry attribute on the nonlinear correlation between the deviation degree of individual stock and the return rate of market portfolio is divided. Then, the change trend of herding effect in Chinese stock market is verified by comparing the empirical results of annual data. Finally, on the basis of empirical results, put forward stock market investment and policy recommendations.
【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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