基于分散度的金融市场的羊群行为研究

本文使用个股收益率的分散度指标对我国证券市场的羊群行为进行了实证研究。和William等 (1 995)对美国证券市场的实证结果作比较 ,结果发现我国证券市场的羊群行为程度高于美国证券市场的羊群行为程度。对市场收益率处于极高和极低水平的回归系数的比较发现 ,在市场收益率极低时的羊群行为程度远高于在市场收益率极高时的羊群行为程度 ,这个结果可以用期望理论中的决策者对于损失、收益的不同态度来解释。     

羊群效应的个股收益率偏离度模型及中国股市的实证分析

利用个股收益率偏离度指标建模,分别对沪、深股市的羊群效应进行了独立和联合实证研究.结果表明:沪、深股市及中国股市整体上都存在显著的羊群效应,且市场下降时的羊群效应比市场上升时强.羊群效应的不对称性可用行为金融学及其期望理论解释.     

我国股票市场羊群行为实证研究——基于创业板300数据

在股票市场中,羊群行为是一种在信息不对称的情况下,投资者与投资者之间存在的趋同行为,这样的非理性行为扰乱了市场的正常运行.本文基于2014年6月20日至2016年1月27日创业板300指数日收益率,用CCK模型进行实证研究.研究发现,在90％的置信区间存在较弱的羊群行为,且上涨阶段不存在羊群行为,下跌阶段存在羊群行为,下跌阶段的羊群行为程度影响了整个阶段的羊群行为.这说明我国股票市场经过多年发展具有一定成效,但是政府部门需要继续加大对外开放力度,引进外资优化市场,完善市场机制.     

我国股票市场羊群行为实证研究

金融市场中的羊群行为是一种非理性的行为,对于投资者的效用和整个市场的稳定都有着消极的作用。文章通过三种实证方法对深沪两市股票市场的羊群行为进行了实证检验,发现在2004年以前深沪两市A股市场存在着显著的羊群行为,但在随后的近几年里,羊群行为并不显著。最后,文章探讨了影响中国股票市场羊群行为的几点原因。     

中国IPO市场存在承销商托市吗

本文采用修正后的Ruud(1993)收益率分布检验法对中国A股市场上IPO股票上市后短期收益率分布进行了检验.考虑抑价极大值会使样本收益率分布明显右偏,本文运用剔除抑价极大值后的样本对不同定价机制下的IPO后市短期收益率分布进行了正态性检验.我们发现,IPO股票上市后的短期收益率分布不能拒绝正态分布的零假设.这说明中国IPO市场不存在明显的承销商托市,目前高抑价的原因不能用承销商托市行为来解释.     

论股票市场中的羊群行为

基于沪深300成分股2016-2017年的数据,建立模型检验了中国股票市场中的羊群行为并进一步探析了羊群行为的成因。结果发现,中国股票市场确实存在显著羊群行为,以换手率和涨跌幅为代表的市场流动性和波动性大小对羊群行为产生显著影响。从宏观、微观两方面探析了羊群行为的成因主要是政策不确定性指数较高、资本市场不成熟、信息传播过程和庄散博弈引发羊群行为等,提出了提高政策透明度、提高上市公司质量、提高机构投资者比例等对策建议。     

我国基金羊群行为:测度与影响因素

本文以1998年第1季度至2003年第4季度在沪深两市交易的94家基金的投资组合明细数据为样本,借鉴LSV思想构造新的羊群行为测度指标,探讨了我国基金投资者羊群行为的特征及其形成机制。研究发现:基金的羊群行为受到时间、季节、市场规模、基金规模、市场态势和基金盈利水平等因素的影响;羊群行为测度与基金盈利能力、基金/市场的相对规模等因素正相关;熊市中的羊群行为测度值大于牛市中的测度值;基金的羊群行为随着时间的进程没有显著改善,但每年的第2和第3季度是高发期。作者认为,基金在交易模式演变过程中产生的“代表性心理”,以及“心理阻抗”和“控制幻觉”加剧了羊群行为。     

保险公司存在羊群行为吗

从行为金融的角度研究保险公司的投资行为,通过LSV模型对我国A股市场保险公司的羊群行为度进行检验,发现保险公司的羊群效应不显著。并且通过季度、年度检验,得到的结果是一致的。最后将股票按流通市值分为三类来检验,发现保险公司对股票的流通规模没有表现出偏好,对不同规模股票的羊群效应均不显著。     

羊群效应对股指波动率的影响分析

投资者行为对资本市场的稳定性影响是行为金融学关注的热点问题之一。本文以浦发银行股票为研究对象,首先,利用羊群行为的程度作为度量羊群行为的数量标准,通过建立ARCH模型,对浦发银行股票是否存在羊群效应进行统计检验,结果表明浦发银行股票存在显著的羊群效应。其次,通过建立线性回归模型分析了羊群行为对股票波动性的影响。实证研究表明,股票的羊群行为程度与股票指数波动率成正相关关系。     

政府治理影响企业创新绩效的机制：市场效应与羊群效应

政府行为对于企业创新及其经济后果极为重要。以沪、深A股上市公司相关数据为样本,并以市场效应和羊群效应为分析路径,实证检验了政府治理影响企业创新绩效的微观作用机理。结论表明,政府治理水平通过市场效应和羊群效应对企业创新绩效产生积极作用,其中市场效应的作用更为突出。此外,政府治理对企业创新投资羊群行为及企业创新绩效的治理效应在非国有企业中更为显著。     

Herding on lottery-type stocks: evidence from the Chinese stock market

Previous studies have provided evidence that investors have gambling propensity in the stock market and exhibit a preference for lottery-type stocks. In this study, we use high total skewness and high maximum daily return (MAX) to measure lottery-type stocks and examine whether investors do exhibit distinct herding pattern in these stock types. Empirical results show that investors display stronger herding among lottery-type stocks, thereby indicating that such stocks induce correlated behaviour with the investors. In addition, we find that stocks with the highest skewness exhibit stronger herding under upmarkets, whereas stocks with the lowest skewness display stronger herding under downmarkets. Regarding the highest MAX portfolio, no significant herding asymmetry is seen between upmarket and downmarket. The results reported in this article demonstrate that comovement in stock returns may be partly attributed to the nonstandard preferences of investors in the stock market.     

中国证券投资基金羊群行为的实证研究

本文基于封闭式基金2000年6月～2003年12月完整的投资组合数据,采用LSV(1992)的方法以及Wermers(1999)修正的方法测度了中国股票市场证券投资基金羊群行为的程度.并采用分组比较以及回归分析的方法研究了基金的羊群行为与股票上市年龄,流通股市值,股票超常收益(同期、前期及后期)以及财务表现等特征之间的关系.     

中小投资者羊群行为的多阶段模型探究

在中国的股票市场中,中小投资者虽是弱势群体,但其数量却占了股市投资者总数的大部分,其投资行为将直接决定着大盘走势和股票市场的波动情况。文章借鉴传染病模型,建立金融市场上中小投资者羊群行为的多阶段模型,就金融市场信息的不对称性与投资者的认知水平等影响金融市场上中小投资者羊群行为的阶段行为特征进行了深入分析,并有针对性地提出相关建议。     

Herding by foreign investors and emerging market equity returns: Evidence from Korea

This paper studies the effect of herding by foreign investors on stock returns in the Korean market. We conduct both pre and post-liberalization analyses and utilize a three-stage least squares analysis in order to control for the simultaneous relationship. We find evidence of a significant impact of foreign investor herding on stock returns in addition to intra-year positive feedback trading by foreign investors. However, changes in domestic institutional ownership do not have any significant effect on stock returns. In addition, foreign investors tend to buy/sell shares that domestic institutions sell/buy in the herding year.     

Market Underreaction and Overreaction of Technology Stocks

Several studies have assessed stock market under- or overreaction of stocks and there is some agreement among them. However, there is much disagreement about what constitutes market underreaction or overreaction, and the conditions that cause it. The substantial variation in results among studies may be partially attributed to the types of firms that are contained in any sample. We investigate this premise by focusing on a sample of technology stocks that experienced an extreme change in stock price, along with a corresponding control sample of non-technology stocks that experienced a similar extreme change in stock price on the same day.

Based on the subsequent stock price behavior of each sample, we find a greater degree of overreaction within extreme positive changes in technology stock prices (winners) than in non-technology stock prices. In addition, we find a greater degree of underreaction within extreme negative changes in technology stock prices (losers) than in non-technology stock prices. When considering winners and losers collectively for technology and non-technology firms, it appears the market is overoptimistic when it initially revalues technology stock prices relative to non-technology stock prices.

The degree of under- or overreaction of technology stocks varies within the sample of technology stocks, and is conditioned on firm-specific characteristics. Overall, our results suggest that technology stocks exhibit unique stock price behavior subsequent to an extreme change in price, and that this unique behavior can even vary among technology firms according to firm-specific characteristics.     

Herding in Chinese stock markets: a nonparametric approach

The paper reports new evidence of herding in the Chinese A-type and B-type markets by employing nonparametric kernel regression. We find statistically significant evidence of herding in A-type market under both extreme high and low market returns. Herding in B-type market, which predominantly consists of foreign investors, indicates only weak evidence of herding. We do not find any statistically significant evidence of herding in the pre-2001 sample of B-type market, when only foreign investors could do the trading. Lack of knowledge and experience of local investors may be attributed to the presence of herd behaviour in the Chinese markets.     

合格境外机构投资者投资行为的实证分析

根据QFII每季度公布的投资组合数据,对其交易行为进行研究,结果发现:QFII存在正向反馈策略和"羊群行为",而已有的研究证明,正向反馈策略和"羊群行为"不利于股票市场稳定。因此,要注意加强对QFII投资的监管,尤其是QFII信息披露的监管。     

Pension Fund Herding and the Influence of Management Style

In this article, we study the herding phenomenon in Spanish equity pension funds with European investment locations from 2002 to 2012, considering whether the development of different investment strategies by the managers results in herding. In addition, we analyze the performance-herding relationship, observing whether pension fund performance decreases or increases when pension funds herd. Using the herding measure of Lakonishok et al. [1992], we do not find strong imitation behavior, although herding in the market and book-to-market styles are higher. Those pension funds that do not herd or that follow distinctive strategies do not present significant differences in performance with respect to herding funds.     

Investors’ fear and herding in the stock market

ABSTRACT

In this article, we examine herding in three developed stock markets testing for the impact of investors’ ‘fear’ on herding estimations. To this end, we employ daily data of all listed stocks from USA, UK and Germany from January 2004 to July 2014. We examine herd behaviour applying the cross-sectional dispersion approach. Moreover, we investigate the asymmetric herding behaviour under different market states and sub-periods. The stock markets under examination provide comparable implied volatility indices which are used as a proxy for fear. As a result, apart from the standard herding estimations within and across markets, we also augment the benchmark model with the fear indicator. Our empirical results document the statistically significant impact of fear on herding estimations. Moreover, there is evidence of cross market herding as well as evidence of herding in the UK during specific sub-periods.     

Determinants of Inflow to Mutual Funds: Criterion and Methodology for Their Application to the Mainland China Market

This study is based on the Froot, O’Connell, and Seasholes [2001] and Hsieh, Yang and Yu [2008] as foundations to study which reasons and control factors cause herding behavior of mutual fund inflows. The study uses the most popular Asian emerging market, China, as the sample to determine the real attractive reason behind the mutual fund inflows to China. The significant determinant of the mutual fund inflows to China is stock returns for both Shanghai and Shenzhen A stock markets.