中国股票市场板块内羊群行为的实证研究

发布时间：2018-01-09 19:01

本文关键词：中国股票市场板块内羊群行为的实证研究　出处：《安徽大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着我国市场经济的快速发展,股票市场的规模得以不断扩大,证券监管和发行制度也日渐完善,市场整体的稳定性大大增强了。近几年来,市场指数一直处于震荡和小幅下跌态势,下跌和上涨的幅度均不大,但同一时期一些板块却大幅上涨和下跌。在这些板块中很有可能存在着比整体市场更加强烈的羊群行为,故本文未将整体市场作为研究对象,而是从板块的视角考察了股票市场上特殊证券组合的羊群行为。本文先对羊群行为和板块现象进行了概述,总结了四种经典的羊群行为形成理论,比较分析了四种常见的实证方法。接着选择特定资产组合的羊群行为模型,利用大智慧投资家、国泰安金融数据库以及锐思金融研究数据库采集2006年8月至2012年4月相关数据,从行业、区域以及概念板块三个方面,对板块内羊群行为的存在、强弱以及规律性等进行了研究,结果发现大部分板块内均存在明显的羊群行为。其中行业板块的羊群行为程度较2006年前有所降低；经济越发达的区域板块内羊群行为越不明显,西部地区和皖江及周边中部区域板块内表现出了明显的羊群行为；概念板块内羊群行为比行业和区域板块表现得更为明显,中盘股和低价概念股板块内更易滋生羊群行为。为了考察板块内羊群行为是否由某些特定投资者引起,本文进一步对证券投资基金在板块选择上是否存在羊群行为进行了实证分析。利用投资聚合强度模型,以行业板块为例,重点研究了投资基金在板块配置上是否存在羊群行为。实证结果显示,证券投资基金在行业板块配置上存在明显的羊群行为。与之前实证结果进行对比发现,基金重点投资的五大行业板块内均发现了羊群行为,而在投资较小的木材家居、造纸印刷以及纺织服装等行业板块内几乎都不存在羊群行为。在结合本文理论和实证研究的基础上,分析了我国证券市场羊群行为产生的一般性原因,然后指出了板块内产生羊群行为的特殊内在原因,最后提出了几点防范羊群行为的建议。
[Abstract]:With the rapid development of China's market economy, the stock market scale is constantly expanding, securities regulation and distribution system has been gradually improved, the overall market stability is greatly enhanced. In recent years, the market index has been in shock and a slight downward trend, rise and fall were not significant, but at the same time some of the plate is the sharp rise and fall. In these sectors is likely to exist herding behavior more strongly than the overall market, so this is not the whole market as the research object, but from the perspective of the plate special portfolio herding behavior on the stock market.
This paper first summarizes the herd behavior and the plate phenomenon, summarizes the herding behavior of four kinds of classical theory, comparative analysis of four kinds of empirical methods. Then choose the herd behavior model of specific asset portfolio, with the great wisdom of the investment, Tai'an's financial data base and resset financial research database from August 2006 to April 2012 the relevant data from the industry, the concept of plate region and the three aspects of herd behavior within the sector, as well as regularity were studied, results showed that there were obvious herd behavior in most sectors. The degree of herding behavior in the industry sector than in 2006 decreased; the herding behavior of regional economy is developed the more obvious, the western region and the central region and the surrounding Wanjiang plate showed obvious herd behavior; herd behavior in the concept of plate Regional and industry sector performance is more obvious, and the disk shares the concept of low-priced stocks within the sector more likely to breed herd behavior.
In order to investigate whether the herd behavior of the plate caused by certain investors, according to the securities investment fund sector in the choice of herding behavior was analyzed. Aggregation intensity model using investment to the industry sector as an example, focus on investment funds in the sector allocation whether herding behavior exists. The empirical results show that securities investment fund has obvious herding behavior in the plate configuration industry. The empirical results were compared before and found that the five industry fund focused on investments in the sector were found in the herd behavior, the investment in the small wood Home Furnishing, paper printing, textile and garment industry sector almost does not exist herding behavior.
Based on the theoretical and empirical research, this paper analyzes the general causes of herding behavior in China's stock market, then points out the special internal reasons for herding behavior in the stock market, and finally puts forward some suggestions for preventing herding behavior.

【学位授予单位】：安徽大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

【参考文献】