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| 基于分散度模型的股市羊群行为研究 | |
| 引用本文： | 淳伟德,李晓燕,李曼.基于分散度模型的股市羊群行为研究[J].预测,2011,30(5). |
| 作者姓名： | 淳伟德 李晓燕 李曼 |
| 作者单位： | 1. 成都理工大学商学院,四川成都610059;成都理工大学管理科学学院,四川成都610059 2. 成都理工大学商学院,四川成都,610059 3. 成都理工大学管理科学学院,四川成都,610059 |
| 基金项目： | 国家自然科学基金资助项目(71071131) |
| 摘 要： | 本文综合运用个股收益率对市场平均收益率标准差与个股收益率对市场平均收益率的横截面绝对差的研究方法来检验我国证券市场的羊群行为,同时,通过区分牛市与熊市来检验中国股市在不同背景下的羊群行为.研究结果表明:我国股市中,整体上无论市场收益率上涨或下跌均存在羊群行为；在牛市情况下,当股市收益率上涨时不存在羊群行为,股市收益率下跌时却存在羊群行为；而在熊市情况下,无论股市收益率上涨或下跌均存在羊群行为. |
| 关 键 词： | 股票市场 羊群行为 CCK模型 CH模型 严重程度 |
Study on Herd Behavior in Chinese Stock Market Based on Dispersion Model |
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| CHUN Wei-de,LI Xiao-yan,LI Man.Study on Herd Behavior in Chinese Stock Market Based on Dispersion Model[J].Forecasting,2011,30(5). | |
| Authors: | CHUN Wei-de LI Xiao-yan LI Man |
| Institution: | CHUN Wei-de1,2,LI Xiao-yan1,LI Man2(1.School of Business,Chengdu University of Technology,Chengdu 610059,China,2.School of Management Science,China) |
| Abstract: | This paper,using Cross-Sectional Standard Deviation of Returns(CSSD)and Cross-Sectional Absolute Deviation of Returns(CSAD),examines whether there's exist herd behavior in Chinese stock market,and then,distinguishes the bull market and bear market to examine the herd behavior in different background.The research results show that,in Chinese stock market there's exist herd behavior whether the market rises or falls.In a bull situation,there's exists herd behavior when the market rises,otherwise it doesn't;in... |
| Keywords: | stock market herd behavior CCK model CH model severity |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |