基于CCK模型的创业板羊群行为研究

发布时间：2018-05-31 04:40

本文选题：创业板 + 羊群行为　；参考：《中国科学技术大学》2017年硕士论文

【摘要】：羊群行为是市场监管部门重点关注的问题,它可能会导致市场收益率的大幅波动,从而破坏金融市场的稳定性。2015年我国股市经历了极端市场的情况,潜在的羊群行为可能加剧了市场的波动。已有的研究表明,羊群行为在市场大幅波动期间更容易出现,且在新兴市场中表现更明显。创业板市场作为主板市场的重要补充,以成长型公司股票为主,发展时间较短,因此研究其羊群行为具有重要意义。基于收益率的横截面绝对值偏离度(Cross-Sectional Absolute Deviation,CSAD)与市场收益率的正相关关系,本文检验了创业板市场的羊群行为,重点探索了市场环境、公司特征、行业因素与羊群行为的关系以及跨市场间羊群行为的传染。同时还基于变点模型对时间进行分段,研究了创业板市场羊群行为的变化。研究结果显示,我国创业板市场存在明显的羊群行为,并且该行为是一种短期现象。同时,市场环境对羊群行为存在不对称的影响,当市场交易量低或波动率高时,羊群行为更明显。从个股特征的角度出发,在小盘股、长期收益率低的股票和换手率低的股票中羊群行为更明显。进一步,本文发现公用事业类股票不存在羊群行为,其他行业股票存在羊群行为。对比A股与创业板的羊群行为,后者的羊群行为更强,且受到A股市场单方面的影响。最后,本文根据变点模型对时间进行分段,发现在前三段市场相对平稳的时期中创业板不存在羊群行为,但在最后一段时期中由于极端市场的出现,羊群行为变得显著。本文的研究成果对于监管部门防范与抑制羊群行为提供了支持,也为投资者的决策提供了参考。
[Abstract]:Herding behavior is a major concern of market regulators. It may lead to large fluctuations in market yields, thus undermining the stability of financial markets. China's stock market experienced extreme market conditions in 2015. Potential herding may exacerbate market volatility. Existing studies have shown that herd behaviour is more likely to occur during periods of market volatility and is more pronounced in emerging markets. As an important supplement to the main board market, the gem market is mainly composed of growth companies and has a short development time, so it is of great significance to study herding behavior. Based on the positive correlation between cross-sectional absolute value deviation and market yield, this paper examines herding behavior in gem market, and probes into market environment and company characteristics. The relationship between industry factors and herding behavior and the transmission of herding behavior across markets. At the same time, the change of herding behavior in gem market is studied based on the change point model. The results show that there is obvious herding behavior in China's gem market, and this behavior is a short-term phenomenon. At the same time, the market environment has an asymmetric effect on herding behavior. When the market volume is low or volatility is high, herding behavior is more obvious. From the point of view of the characteristics of individual stocks, herding behavior is more obvious in small-cap stocks, stocks with low long-term yield and stocks with low turnover rate. Furthermore, this paper finds that herding behavior does not exist in public utility stocks, but in other industries. Comparing the herding behavior of A-share and gem, the herding behavior of the latter is stronger and influenced by the A-share market unilaterally. Finally, according to the change point model, we segment the time and find that there is no herding behavior in the growth enterprise market in the first three periods, but in the last period, because of the emergence of the extreme market, the herding behavior becomes obvious. The research results of this paper provide support for regulators to prevent and suppress herding behavior, and also provide a reference for investors to make decisions.
【学位授予单位】：中国科学技术大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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