我国中小上市公司股票投资者羊群效应分析

发布时间：2018-04-23 08:55

本文选题：中小板 + 创业板　；参考：《华南理工大学》2013年硕士论文

【摘要】：在世界上每一个国家或地区，新兴股市因其高风险，高收益的特点，所以一直是金融理论研究的热点，也受到投资者的热炒。我国创业板和中小板在最近几年备受关注，具备对中小企业融资的作用，可以帮助高新技术产业的跨越式发展。但是，我国的投资者是面临的创业板市场和中小板是新兴市场，新兴市场与主板市场投资策略是不一样的，而监管部门需要根据新兴市场的特征对其监管策略进行调整。文章首先对羊群效应进行了总结，解释了人类社会产生羊群效应的原因，以及总结了中国资本市场羊群效应的原因，，本文希望通过总结这些原因来找到得出解决羊群效应的办法。其次介绍了中国中小企业界定标准，回顾了近几年中小企业的发展，分别总结创业板市场和中小板市场的条件，发现在创业板上市的公司其成熟度和市值都明显要差于中小板的上市公司，分析这种现状为接下来的实证分析做了铺垫。接下来文章通过协整分析，格兰杰因果检验，误差修正模型等实证模型，分析检验得出中小板，创业板都受到主板市场的影响，并发现主板市场引领中小板与创业板市场的波动。接下来本文进一步结合CSAD和GARCH设计了一个实证模型，结论表明，中国创业板和中小板市场存在羊群效应，但创业板市场存在羊群效应比中小板企业板存在的羊群效应要更加显着。股价上升时期的羊群效应要小于股价下跌时期的羊群效应大小。无论是中小板还是创业板，当其羊群效应较大时，其价格的波动就会变小。
[Abstract]:In every country or region in the world, because of its high risk and high yield, the emerging stock market is always the hot spot of financial theory research, and also hot speculation by investors. In recent years, China's growth Enterprise Market (gem) and small and Medium-sized Board (SMC) have attracted much attention. They have the function of financing small and medium-sized enterprises and can help the development of high-tech industry by leaps and bounds. However, China's investors are facing the gem market and the small and medium-sized market are emerging markets, emerging markets and the main market investment strategy is different, and the regulatory authorities need to adjust their regulatory strategies according to the characteristics of emerging markets. Firstly, the paper summarizes the herding effect, explains the reason of herding effect in human society, and summarizes the reason of herding effect in Chinese capital market. This paper hopes to find a solution to herding by summing up these reasons. Secondly, it introduces the definition standards of Chinese SMEs, reviews the development of SMEs in recent years, and summarizes the conditions of gem market and SME market respectively. It is found that the maturity of the listed companies in gem and market value are obviously worse than the listed companies on the small and medium board. The analysis of this situation paves the way for the next empirical analysis. Next, through cointegration analysis, Granger causality test, error correction model and other empirical models, the analysis and test show that the small and medium-sized board, gem are all affected by the main board market. And found that the main board market leading small and medium-sized board and gem market fluctuations. Then this paper designs an empirical model combined with CSAD and GARCH. The conclusion shows that there is herding effect in China's growth enterprise market and small and medium-sized market. But the herding effect in the gem market is more significant than that in the small and medium-sized enterprise board. The herding effect in rising stock price is smaller than that in falling stock price. Whether small or medium board or gem, when its herd effect is large, its price fluctuation will become smaller.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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